1,720,999 research outputs found
Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures
Full text linkIn this paper, we propose a parametric spectral estimation procedure for constructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research, and we demonstrate that the parametric estimator converges at a faster rate than the kernel-based estimators proposed by Andrews and Monahan (1992) and Newey and West (1994). In finite samples, our Monte Carlo experiments indicate that the parametric estimator matches, and in some cases greatly exceeds, the performance of the prewhitened kernel estimator proposed by Andrews and Monahan (1992). These simulation experiments illustrate several important limitations of non-parametric HAC estimation procedures, and highlight the advantages of explicitly modeling the temporal properties of the error terms. Wouter J. den Haan Andrew Levin Depa
RATS programs to replicate Den Haan JME(2000) correlation of comovements
No full textReplication of Wouter J. den Haan(2000), "The comovement between output and prices," Journal of Monetary Economics, vol 46, no 1, 3-30.VAR
The Comovement between Real Activity and Prices in the G7
No full textIn this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of positive correlation at short-run forecast horizons for some countries. See publication in the European Economic Review , 2004, 48(6), 1333-47.Comovement; vector autoregressive models.
Convergence in stochastic growth models The importance of understanding why income levels differ
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Recursive macroeconomic theory, Lars Ljungqvist and Thomas J. Sargent; The MIT Press, Cambridge, MA, 2000, pp. 737, $60.
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