Bootstrapping a stable AD model: weak vs strong exogeneity

Article Abstract:

Small-sample problems undermine ordinary first-order asymptotic inference procedures, regardless of the presence and significance of a feedback mechanism. This was concluded in an analysis of several residual-based bootstrap procedures that sought to determine the efficiency of bootstrap based inference procedures in autoregressive distributed-lag models. The analysis further revealed that only the bootstrap procedure that incorporates the conditional model overcomes the sample problems in a fairly efficient manner.

Analysis, Stochastic processes, Inference

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Cointegration vector estimation by panel DOLS and long-run money demand

Article Abstract:

The authors apply the panel dynamic ordinary least square estimator to estimate long-run money demand function coefficients for 19 countries, using data from 1957 to 1996. Estimated semi-elasticity of the interest rate is minus 0.02; estimated elasticity of income is 1.08.

New Zealand, Usage, Measurement, Comparative analysis, Money demand, Least squares, Econometric models

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Permanent-transitory decomposition in VAR models with cointegration and common cycles

Article Abstract:

Models of permanent-transitory decomposition under different cycles are described.

Statistical Data Included, United States economic conditions, Business cycles, Decomposition (Mathematics)

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