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Testing chaotic dynamics via Lyapunov exponents (replication data)
We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Comparing shocks and frictions in US and euro area business cycles: a Bayesia...
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of...
