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On Markov error-correction models, with an application to stock prices and di...
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our... -
The stochastic implications of rent maximization: an application to stumpage ...
We construct a model of rent-maximizing behaviour by a single seller of timber in the absence of a formal market, deriving the stochastic implications of rent maximization for... -
Mixed signals among tests for cointegration (replication data)
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or ) with a... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships 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... -
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... -
US deficit sustainability: a new approach based on multiple endogenous breaks...
Recent empirical work has questioned the consistency of US fiscal policy with an intertemporal budget constraint. Empirical results have tended to indicate that the deficit... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for... -
Exchange rates and monetary fundamentals: what do we learn from long-horizon ...
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange... -
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... -
Revisiting the Drivers of Natural Gas Prices: Replication Data and Code
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