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Articles 1 - 7 of 7
Full-Text Articles in Social and Behavioral Sciences
Predictive Regression Under Various Degrees Of Persistence And Robust Long-Horizon Regression, Peter C. B. Phillips, Ji Hyung Lee
Predictive Regression Under Various Degrees Of Persistence And Robust Long-Horizon Regression, Peter C. B. Phillips, Ji Hyung Lee
Research Collection School Of Economics
The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a wide vicinity of unity. The invalidity of conventional tests when regressors are persistent has led to a large literature dealing with inference in predictive regressions with local to unity regressors. Magdalinos and Phillips (2009b) recently developed a new framework of extended IV procedures (IVX) that enables robtist chi-square testing for a wider class of persistent regressors. We extend this robust procedure to an even wider parameter space in the vicinity of unity and apply the methods to long-horizon …
Semiparametric Estimation In Triangular System Equations With Nonstationarity, Jiti Gao, Peter C. B. Phillips
Semiparametric Estimation In Triangular System Equations With Nonstationarity, Jiti Gao, Peter C. B. Phillips
Research Collection School Of Economics
A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenous. The parametric regressors may be stationary or nonstationary and the nonparametric regressors are nonstationary integrated time series. Semiparametric least squares (SLS) estimation is considered and its asymptotic properties are derived. Due to endogeneity in the parametric regressors, SLS is not consistent for the parametric component and a semiparametric instrumental variable (SIV) method is proposed instead. Under certain regularity conditions, the SIV …
Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos
Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos
Research Collection School Of Economics
Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved.
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Research Collection School Of Economics
We consider the local linear GMM estimation of functional coe cient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic variance-covariance matrix among the class of all local linear GMM estimators. Data-dependent bandwidth sequences are also allowed for. We propose a nonparametric test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis as well as a sequence of local alternatives and global alternatives, and propose a bootstrap version for …
Mission Accomplished: A Reply To Reuveny And Keshk, Cullen F. Goenner
Mission Accomplished: A Reply To Reuveny And Keshk, Cullen F. Goenner
Economics & Finance Faculty Publications
Reuveny and Keshk (“Reconsidering trade and conflict simultaneity: The risk of emphasizing technique over substance,” this issue, 2013) argue that the econometric techniques used by Goenner (Conflict Management and Peace Science 28(5): 459–477, 2011) to test and control for endogeneity when estimating the relationship between trade and conflict lack substance. Both sets of authors propose the use of instrumental variable methods, which are known by econometricians to be the natural remedy for estimation with potentially endogenous regressors. Where Goenner (2011) and Reuveny and Keshk (2013) agree is that theory should guide variable selection and the model’s specification. Yet they …
Does Exchange Market React To Central Bank Governor Replacements: Evidence From A New Dataset Using Narrative Approach, Siyang Xu
Honors Theses
This paper contributes to the literature that analyzes the exchange market reaction to the event of a central bank governor replacement. In order to solve the endogeneity problem, we develop a narrative approach-based on reports from credible newspapers-that classifies central bank governor replacements by their nature and causes. Using this new dataset on central bank independence for 31 countries over the period 1967-2012, we decompose all replacements into endogenous and exogenous cases with respect to inflation and financial market performance. We find that such a distinction is critical in understanding the exchange market reactions. We show that i) endogenous replacements, …
Trade Intensity And Output Synchronisation: The Endogeneity Properties Of Emu, Guglielmo Maria Caporale, Roberta De Santis, Alessandro Girardi
Trade Intensity And Output Synchronisation: The Endogeneity Properties Of Emu, Guglielmo Maria Caporale, Roberta De Santis, Alessandro Girardi
Roberta De Santis
Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results support the specialisation paradigm rather than the endogeneity hypothesis. Evidence is found in the euro period of diverging patterns between the core and the peripheral EMU countries raising questions about the future stability of EMU.