Now showing items 1-4 of 4
Confidence intervals for half-life deviations from purchasing power parity
(Journal of Business and Economic Statistics, 2005-10-01)
Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3-5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these ...
Recursive predictability tests for real-time data
(JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2005-07)
Optimal tests for nested model selection with underlying parmeter instability
(Econometric Theory, 2005-10-01)
This paper develops optimal tests for model selection between two nested models in the presence of underlying parameter instability. These are joint tests for both parameter instability and a null hypothesis on a subset ...
Do technology shocks drive hours up or down? A little evidence from an agnostic procedure
(Macroeconomic Dynamics, 2005-09-01)
This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We ...