135 research outputs found
Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
No full textThe relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994, are modelled using a cointegrated vector autoregression. There is evidence of a change in the underlying equilibria and in the dynamic evolution of the variables, probably associated with the substantial changes in many sectors of the Italian economy after 1979. Alternative ways to model structural change in the Italian labour market are considered. In adopting a split sample approach the results favour an hysteresis interpretation of unemployment
Congruence and encompassing
No full textThis paper considers the relationship between congruence and encompassing. Congruence is defined formally, and though it is not testable directly, it can be tested indirectly via tests of misspecification. Empirically more than one model can appear congruent, but that which encompasses its rivals is dominant, will encompass all models nested within it, and accurately predict the misspecifications of non-congruent models. These results are consistent with a general-to-specific modelling strategy being successful in practice. An empirical example illustrates these points
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK
No full textThe relationship between wages, prices, productivity, inflation and unemployment in Italy, Poland, and the UK between the 1960s and the early 1990s is modelled as a cointegrated vector autoregression subject to regime shifts. For each of these economies there is clear evidence of a change in the underlying equilibria of this sector of the economy. Hypotheses concerning the similarity of the transition from a rigid to a flexible labour market are tested
Reformulating empirical macro-econometric modelling
No full textThe policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of 'rational expectations'; criticize a common approach to testing economic theories; show that impulse-response methods of evaluating policy are seriously flawed; and question the mechanistic derivation of forecasts from econometric systems. In their place, we propose that expectations should be treated as instrumental to agents' decisions; discuss a powerful new approach to the empirical modelling of econometric relationships; offer viable alternatives to studying policy implications; and note modifications to forecasting devices that can enhance their robustness to unanticipated structural breaks
Forecasting in the presence of structural breaks and policy regime shifts
No full textPart I. Identification and Efficient Estimation: 1. Incredible structural inference Thomas J. Rothenberg; 2. Structural equation models in human behavior genetics Arthur S. Goldberger; 3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge; 4. On specifying graphical models for causation and the identification problem David A. Freedman; 5. Testing for weak instruments in linear IV regression James H. Stock and Motohiro Yogo; 6. Asymptotic distributions of instrumental variables statistics with many instruments James H. Stock and Motohiro Yogo; 7. Identifying a source of financial volatility Douglas G. Steigerwald and Richard J. Vagnoni; Part II. Asymptotic Approximations: 8. Asymptotic expansions for some semiparametric program evaluation estimators Hidehiko Ichimura and Oliver Linton; 9. Higher-order improvements of the parametric bootstrap for Markov processes Donald W. K. Andrews; 10. The performance of empirical likelihood and its generalizations Guido W. Imbens and Richard H. Spady; 11. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters Whitney K. Newey, Joaquim J. S. Ramalho and Richard J. Smith; 12. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods Ron C. Mittelhammer, George G. Judge and Ron Schoenberg; 13. How accurate is the asymptotic approximation to the distribution of realised variance? Ole E. Barndorff-Nielsen and Neil Shephard; 14. Testing the semiparametric Box-Cox model with the bootstrap N. E. Savin and Allan H. Wurtz; Part III. Inference Involving Potentially Nonstationary Time Series: 15. Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root Michael Jansson; 16. Robust confidence intervals for autoregressive coefficients near one Samuel B. Thompson; 17. A unified approach to testing for stationarity and unit roots Andrew C. Harvey; 18. A new look at panel testing of stationarity and the PPP hypothesis Jushan Bai and Serena Ng; 19. Testing for unit roots in panel data: an exploration using real and simulated data Brownwyn H. Hall and Jacques Mairesse; 20. Forecasting in the presence of structural breaks and policy regime shifts David F. Hendry and Grayham E. Mizon; Part IV. Nonparametric and Semiparametric Inference: 21. Nonparametric testing of an exclusion restriction Peter J. Bickel, Y. Ritov and James L. Powell; 23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.<br/
A Markov-switching vector equilibrium correction model of the UK labour market
No full textThere is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by two cointegrating vectors: trend-adjusted labour productivity and the labour share. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes representing recession, growth and high growth provides a good characterization of the sample data over the period 1966(3)-1993(1) In an out-of-sample forecast experiment over the period 1991(2)-1993(1) it beats linear and non-linear model alternatives. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established
Mutual encompassing and model equivalence
No full textThis paper analyzes the properties of mutual encompassing and its relationship to the KLIC equivalence between statistical models. It is shown that models are KLIC equivalent if and only if they are mutually encompassing and mutually Cox encompassing. Further, within the exponentional family encompassing implies Cox-encompassing and so mutual encompassing is necessary and sufficient for KLIC equivalence in this family. In addition, it is shown that mutual encompassing is transitive for models in the exponential family
Econometric modelling of time series with outlying observations
No full textEconomies are buffeted by natural shocks, wars, policy changes, and other unanticipated events. Observed data can be subject to substantial revisions. Consequently, a “correct” theory can manifest serious mis-specification if just fitted to data ignoring its time-series characteristics. Modelling U.S. expenditure on food, the simplest theory implementation fails to describe the evidence. Embedding that theory in a general framework with dynamics, outliers and structural breaks and using impulse-indicator saturation, the selected model performs well, despite commencing with more variables than observations (see Doornik, 2009b), producing useful robust forecasts. Although this illustration involves a simple theory, the implications are generic and apply to sophisticated theorie
- …
