Die folgenden Links führen aus den jeweiligen lokalen Bibliotheken zum Volltext:
Alternativ können Sie versuchen, selbst über Ihren lokalen Bibliothekskatalog auf das gewünschte Dokument zuzugreifen.
Bei Zugriffsproblemen kontaktieren Sie uns gern.
114090 Ergebnisse
Sortierung:
SSRN
In: Computational Statistics & Data Analysis, Volume 100, Pages 763-772, DOI: 10.1016/j.csda.2014.08.012
SSRN
In: NBER Working Paper No. t0130
SSRN
In: Discussion paper 06-22
Hours worked is a time series of interest in many empirical investigations of the macroeconomy. Estimates of macro elasticities of labour supply, for example, build on this variable. Other empirical applications investigate the response of hours worked to a shock to technology on the basis of the real business cycle model. Irrespective of the problem being addressed, robust inference of empirical outcomes strongly hinges on the adequately modelling of the time series of hours worked. The aim of the present paper is to provide cross country evidence of the non- stationarity of hours worked for OECD countries. For these purposes, panel unit root tests are employed to improve power against univariate counterparts. Since cross section correlation is a distinct feature of the underlying panel data, results are based on various second generation panel unit root tests which account for cross section dependence among units. If an unobserved common factor model is assumed for generating the observations, there is indication for both a common factor and idiosyncratic components driving the non-stationarity of hours worked. In addition, taking these results together, there is no indication of cointegration among the individual time series of hours worked.
In: Bulletin of economic research, Band 46, Heft 2, S. 139-145
ISSN: 1467-8586
ABSTRACTConventional unit root tests are biased towards non‐rejection of the null when applied to variables characterized by a one‐time change in their mean. Suggested modifications allowing for a break point require identification of an exogenous change initiated at the time of the break and not subsequently reversed. This paper suggests that modified tests are particularly useful in dealing with legislative changes. Two UK examples are given; the abolition of exchange controls in 1979 and the changes in monetary policy in 1980. Results suggest that allowing for a break changes the apparent order of integration of portfolio shares and real interest rates.
In: Pacific economic review, Band 16, Heft 5, S. 616-637
ISSN: 1468-0106
AbstractThis paper re‐examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in Rapach and Weber (2004), using the Ng and Perron (2001) tests. We use Rudebusch's (1993) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size‐adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of Rapach and Weber (2004): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z‐test on inflation rates. We then apply a powerful covariate augmented Dickey–Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of Rapach and Weber (2004), the bootstrap covariate augmented Dickey–Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries.
In: The Canadian Journal of Economics, Band 23, Heft 3, S. 580
In: CESifo Working Paper No. 10228
SSRN
In: Research report or occasional paper no. 181
In: ESC working paper series no. 4
In: Carnegie Rochester conference series on public policy 32
In: Carnegie Rochester Conference series on public policy: a bi-annual conference proceedings, Band 32, S. 1-6
ISSN: 0167-2231
In: Econometric Theory, 39(2), 221-263. DOI: 10.1017/S0266466622000342.
SSRN
In: International journal of forecasting, Band 37, Heft 4, S. 1535-1555
ISSN: 0169-2070
In: Advances in econometrics volume 8 (1990)
In: International journal of forecasting, Band 13, Heft 3, S. 341-355
ISSN: 0169-2070