Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

Finally small letters indicate deviations of variables from steady states. Thus at = log(At / A).

The solutions to this problem after linearization of the Euler equations are laws of motion for the state variables kt, nt, at and gt as well as linear relations connecting other variables such as yt,

to these states. With the parameter values in Table A it is possible to compute numerical values for these relations and they are presented in the text. The parameter συ in the table arises from the assumption that there are measurement errors in hours worked.


REFERENCES

BANERJEE, A., J. J. DOLADO, D. F. HENDRY and G. W. SMITH ( 1986), "'Exploring Equilibrium Relationships Through Static Models: Some Monte Carlo Evidence'", Oxford Bulletin of Economics and Statistics, 48, 3, pp. 253-77.

BURNSIDE, C., M. EICHENBAUM and S. REBELO ( 1993), "'Labor Hoarding and the Business Cycle'", Journal of Political Economy, 101, pp. 245-73.

BYRON, R. P. ( 1974), "'Testing Structural Specification Using the Unrestricted Reduced Form'", Econometrica, 42, pp. 869-83.

CANOVA, F. ( 1990), "'Simulating General Equilibrium Dynamic Models Using Bayesian Techniques'", Mimeo, University of Rochester.

CHOW, G. C. ( 1992a), "'Dynamic Optimization without Dynamic Programming'", Economic Modelling, 9, pp. 3-9.

----- ( 1992b), "'Statistical Estimation and Testing of a Real Business Cycle Model'", Econometric Research Program Research Memorandum No. 365, Princeton University.

CHRISTIANO, L. J. and M. EICHENBAUM ( 1992), "'Current Real-Business-Cycle Theories and Aggregate Labor Market Fluctuations'", American Economic Review, 82, pp. 430-50.

COGLET, T. and J. M. NASON ( 1992), "'Do Real Business Cycle Models Pass the Nelson-Plosser Test?'", Mimeo, University of British Columbia.

DAVIDSON, R. and J. G. MACKINNON ( 1981), "'Several Tests for Model Specification in the Presence of Alternative Hypotheses'", Econometrica, 49, pp. 781-93.

EVANS, G. W. ( 1989), "'Output and Unemployment Dynamics in the United States: 1950-1985'", Journal of Applied Econometrics, 4, pp. 213-37.

GREGORY, A. W. and G. W. SMITH ( 1993), "'Statistical Aspects of Calibration in Macroeconomics'", in G. S. Maddala, C. R. Rao and H. D. Vinod (eds.), Handbook of Statistics, 11, pp. 703-19.

HENDRY, D. F. and G. M. MIZON ( 1993), "'Evaluating Dynamic Models by Encompassing the VAR'", in P. C. B. Phillips (ed.), Models, Methods and Applications of Econometrics, Oxford: Basil Blackwell, pp. 272-300.

HOOVER, K. D. ( 1991a), "'Six Queries About Idealization in an Empirical Context'", Ponzan Studies in the Philosophy of Science and the Humanities (forthcoming).

----- ( 1991b), "'Calibration and the Econometrics of the Macroeconomy'", Mimeo, University of California at Davis.

KING, R. G., C. PLOSSER and S. REBELO ( 1988), "'Production, Growth and Business Cycles I: The Basic Neoclassical Model'", Journal of Monetary Economics, 21, pp. 195-232.

KING, R. G., C. PLOSSER, J. STOCK and M. WATSON ( 1991), "'Stochastic Trends and Economic Fluctuations'", American Economic Review, 81, pp. 819-46.

KREMERS, J. J. M., N. R. ERICSSON and J. J. DOLADO ( 1992), "'The Power of Cointegration Tests'", International Finance Discussion Paper No. 431, Board of Governors of the Federal Reserve System.

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Nonstationary Time Series Analysis and Cointegration
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • List of Figures vii
  • List of Tables xiii
  • List of Contributors xv
  • Foreword xvii
  • 1 - Introduction 1
  • References 8
  • 2 - Towards a Theory of Economic Forecasting 9
  • Appendix 48
  • References 50
  • 3 - Bayes Models and Forecasts of Australian Macroeconomic Time Series 53
  • References 86
  • 4 - A Review of Methods of Estimating Cointegrating Relationships 87
  • References 129
  • 5 - A Test of the Null Hypothesis of Cointegration 133
  • References 151
  • 6 - Modelling Seasonal Variation 153
  • References 176
  • 7 - Cointegration, Seasonality, Encompassing, and the Demand for Money in the Uk 179
  • Appendix A. the Data 214
  • Appendix B. Sequential Reduction Analysis 216
  • References 220
  • 8 - Evaluating a Real Business Cycle Model 225
  • Appendix 252
  • References 254
  • 9 - Misspecification Versus Bubbles in the Cagan Hyperinflation Model 257
  • References 281
  • 10 Regime Switching with Time-Varying Transition Probabilities 283
  • Appendix 299
  • References 302
  • Name Index 303
  • Subject Index 307
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