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.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1996
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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.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2003
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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.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2000
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