-
Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Non-linear error correction and the UK demand for broad money, 1878-1993 (rep...
In this paper we reconsider an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non-linear in both variables and parameters, and... -
Descriptive econometrics for non-stationary time series with empirical illust...
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with... -
Bounds testing approaches to the analysis of level relationships (replication...
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known... -
Small-system modelling of real wages, inflation, unemployment and output per ...
The relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994 are modelled using a cointegrated vector autoregression. There... -
European integration and monetary transmission mechanisms: the case of Italy ...
The focus in this paper is on the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the... -
Clusters of attributes and well-being in the USA (replication data)
Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analysed for statistical similarity in order... -
Modelling UK inflation, 1875-1991 (replication data)
UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological... -
Output and inflation in the long run (replication data)
Cross-country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in... -
Earnings, unemployment, and housing in Britain (replication data)
This paper models regional earnings and unemployment in the ten regions of Great Britain between 1972 and 1995, paying particular attention to their interaction and to the... -
Stability and wage acceleration in macroeconomic models of cyclical growth (r...
This paper is concerned with the stability of macroeconomic models in which there is no long-run trade-off between unemployment and inflation, because of a wage adjustment... -
An I(2) analysis of inflation and the markup (replication data)
An I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model. It is found that the levels of prices and costs are best... -
Determining market power exertion between buyers and sellers (replication data)
Empirical techniques commonly used in industrial organization to measure market power exertion typically assume imperfectly competitive behaviour by firms on only one side of... -
Box-Cox quantile regression and the distribution of firm sizes (replication d...
Using the Box-Cox quantile regression model, we analyse the size distribution of firms in Portuguese manufacturing during the 1980s. Specifically, we estimate the effect of... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity... -
Linear household technologies (replication data)
This paper discusses, estimates and formally compares the best known procedures for incorporating demographic variables into complete demand systems. In particular, a class of... -
Union status of young men in Britain: a decade of change (replication data)
Previous empirical studies of individual union status in Britain have been cross-sectional. In contrast, we use longitudinal data from the National Child Development Study, to... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Common cycles in seasonal non-stationary time series (replication data)
This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present... -
Testing the random walk hypothesis for real exchange rates (replication data)
This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test,...
