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PERMANENT AND TRANSITORY SHOCKS, AND THE UK BUSINESS CYCLE (replication data)
In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent... -
A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (replication d...
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced... -
Econometric methods for fractional response variables with an application to ...
We develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Comparing Fourier and translog specifications of multiproduct technology: Evi...
Selecting a functional form for a cost or profit function in applied production analysis is a crucial step in assessing the characteristics of a technology. The present study... -
A non-linear model of the real US/UK exchange rate (replication data)
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error... -
Semiparametric estimation of a hedonic price function (replication data)
Previous work on the preferred specification of hedonic price models usually recommended a Box-Cox model. In this paper we note that any parametric model involves implicit... -
Estimating time series models using the relevant cost function (replication d...
In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In... -
Co-integration constraint and forecasting: An empirical examination (replicat...
Does co-integration help long-term forecasts? In this paper, we use simulation, real data sets, and multi-step-ahead post-sample forecasts to study this question. Based on the... -
Assessing forecast performance in a cointegrated system (replication data)
This paper examines the forecast performance of a cointegrated system relative to the forecast performance of a comparable VAR that fails to recognize that the system is... -
Stock market volatility and the business cycle (replication data)
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by... -
Can we improve the perceived quality of economic forecasts? (replication data)
A number of topics are discussed concerning how economic forecasts can be improved in quality or at least in presentation. These include the following: using 50% uncertainty... -
Intercept corrections and structural change (replication data)
Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy,... -
Applied cointegration analysis in the mirror of macroeconomic theory (replica...
Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in... -
Persistence of shocks on seasonal processes (replication data)
The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the... -
The inconsistency of common scale estimators when output prices are unobserve...
This paper explores the inconsistency of common scale estimators when output is proxied by deflated sales, based on a common output deflator across firms. The problem arises... -
Credit rationing and threshold effects in the relation between money and outp...
The possibility that the effect of monetary policy on output may depend on whether credit conditions are tight or loose can be expressed as a non-linearity in the relation... -
Analytic derivatives and the computation of GARCH estimates (replication data)
In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum... -
Computing median unbiased estimates in macroeconometric models (replication d...
A stochastic simulation procedure is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for lagged...
