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  • C22  (33)
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  • 1
    ISSN: 1435-8921
    Keywords: C22 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper parametrically obtains estimates of persistence in output using Pandit's (1977, 1982) Data Dependent Systems approach for modelling autoregressive and moving average processes. The estimates are based on over a century of annual data for the rate of change of output in nine industrialized countries. The sensitivity of estimates to various model selection criteria is examined. While persistence in output is found to be sensitive to model selection criteria, the output of all countries including the United States is found to have a substantial degree of persistence if the ARMA models are chosen according to the Schwarz Bayesian Criterion, but excluding the ARMA models whose moving average roots are near the unit root (which involves pile-up phenomenon). Moreover, the parametric estimates of persistence are shown not to have the known upward bias problem commonly associated with parametric estimates of persistence relative to nonparametric estimates.
    Type of Medium: Electronic Resource
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  • 2
    ISSN: 1435-8921
    Keywords: C21 ; C22 ; C25 ; J38 ; J64 ; J78
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A detailed evaluation is given of two dutch wage subsidy schemes. Aspects covered are: deadweight, displacement, effects an employment and continuity of labour-force participation. Both aggregate data (time-series and cross-section data) and individual survey data have been used to estimate the various effects.
    Type of Medium: Electronic Resource
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  • 3
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 675-706 
    ISSN: 1435-8921
    Keywords: C22 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper proposes an approach to testing for coefficient stability in cointegrating regressions in time series models. The test statistic considered is the one-sided version of the Lagrange Multiplier (LM) test. Its limit distribution is non-standard but is nuisance parameter free and can be represented in terms of a stochastic bridge process which is tied down like a Brownian bridge but relies on a random rather than a deterministic fraction to do so. The approach provides a test of the null hypothesis of cointegration against specific directions of departure from the null; subset coefficient stability tests are also available. A small simulation studies the size and power properties of these tests and an empirical illustration to Australian data on consumption, disposable income, inflation and money is provided.
    Type of Medium: Electronic Resource
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  • 4
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 729-743 
    ISSN: 1435-8921
    Keywords: C22 ; C51 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The structural stability of money demand relations has been the issue of a substantial number of empirical studies. In most studies for the U.S. structural breaks were found in the 1970s and the 1980s. In the present study a money demand function is specified in error-correction-form which involves realM1, realGNP, the deflator and a short-term interest rate. Using flexible least squares it is shown for the U.S. that the long-run coefficients ofM1, GNP and the interest rate are relatively stable over a period of more than 30 years while the deflator does not enter the relation. The instability of the relation is mainly due to changes in the short-term dynamics.
    Type of Medium: Electronic Resource
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  • 5
    ISSN: 1435-8921
    Keywords: C22 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract It is well known that mis-specification of a trend leads to spurious cycles in detrended data (see, e.g., Nelson and Kang (1981)). Seasonal-adjustment procedures make assumptions, either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal frequencies. Consequently, seasonal-adjustment procedures may produce spurious seasonal variation and other statistically undesirable effects. In this paper we document for a large class of widely used US quarterly macroeconomic series the effects of competing seasonal-adjustment procedures on the univariate time-series properties of the adjusted series. We also investigate which procedures are most appropriate given the properties of the data. Overall, we find very significant differences and evidence that several U.S. macroeconomic time series contain a mixture of deterministic and stochastic seasonal components.
    Type of Medium: Electronic Resource
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  • 6
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 707-727 
    ISSN: 1435-8921
    Keywords: Measures of persistence ; unit root ; trend-stationarity ; ARMA models ; non-stationarity ; structural change ; C22 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We analyze the nature of persistence in macroeconomic fluctuations. The current view is that shocks to macroeconomic variables (in particular realGNP) have effects that endure over an indefinite horizon. This conclusion is drawn from the presence of a unit root in the univariate time series representation. Following Perron (1989), we challenge this assessment arguing that most macroeconomic variables are better construed as stationary fluctuations around a breaking trend function. The trend function is linear in time except for a sudden change in its intercept in 1929 (The Great Crash) and a change in slope after 1973 (following the oil price shock). Using a measure of persistence suggested by Cochrane (1988) we find that shocks have small permanent effects, if any. To analyze the effects of shocks at finite horizon, we select a member of theARMA(p, q) class applied to the appropriately detrended series. For the majority of the variables analyzed the implied weights of the moving-average representation have the once familiar humped shape.
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  • 7
    ISSN: 1435-8921
    Keywords: C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper considers estimation of the parameters for the fractionally integrated class of processes known as ARFIMA. We consider the small sample properties of a conditional sum-of-squares estimator that is asymptotically equivalent to MLE. This estimator has the advantage of being relatively simple and can estimate all the parameters, including the mean, simultaneously. The simulation evidence we present indicates that estimation of the mean can make a considerable difference to the small sample bias and MSE of the other parameter estimates.
    Type of Medium: Electronic Resource
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  • 8
    ISSN: 1435-8921
    Keywords: C22 ; D12 ; Q21
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper, estimates of the elasticities that characterize the structure of demand for farmed salmon in Spain and Italy are reported. The demand models are specified using a Box-Cox transformation of the variables and a Hausman test is used to determine price endogeneity in the demand equations. The results show short-run unitary own-price elasticity of demand for farmed salmon in both markets, but long run estimates show significant elastic price response. Short run substitution of salmon for other fish species is not observed and, for both Spain and Italy, farmed salmon is characterized as a luxury good. Interestingly, we show that our a priori expectations about own-price elasticities being lower in smaller market areas is confirmed. Finally, the results obtained are compared to other recent results reported in the salmon demand literature.
    Type of Medium: Electronic Resource
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  • 9
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 20 (1995), S. 577-597 
    ISSN: 1435-8921
    Keywords: Linearity testing ; nonlinear time series ; smooth transition autoregressive model ; structural change ; univariate time series ; C22 ; E32 ; E37
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1889–1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. The behaviour of the estimated models is discussed, and it is seen that nonlinearity is needed to describe the response of the process to exceptionally large exogenous shocks. The properties of the models are further investigated by forecasting several years ahead, and the forecasts are compared with those from other linear and nonlinear models.
    Type of Medium: Electronic Resource
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  • 10
    ISSN: 1435-8921
    Keywords: C12 ; C22 ; C52 ; Q41 ; R22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper a set of ten different single-equation models of residential energy demand is being analyzed, derived by the imposition of linear parameter restrictions on a fairly general autoregressive distributed lag (ADL) model. Residential energy consumption is assumed to be explainable by households' real disposable income, movements in the real price of energy, and the temperature variable ‘heating degree days’. In the empirical application, Austrian annual data for the period 1970 to 1992 are used. The main focus of the paper is on the control of the overall significance level of the tests based on the application of the closure test principle, introduced by Marcus, Peritz, and Gabriel (1976). The application illustrates nicely how one can, by defining a closed system of hypotheses, control the significance level α in supporting the search for a suitable specific model. The wide range of estimated elasticities, however, indicates that the estimation results depend strongly on the choice of the model specification.
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