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Now showing items 1-10 of 17
A Dynamic Factor Approach to Nonlinear Stability Analysis
(Vanderbilt University. Dept. of Economics, 2004-08)
A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of ...
A Simple Cointegrating Rank Test Without Vector Autoregression
(Vanderbilt University, 2000)
This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables ...
Quantifying Inflation Pressure and Monetary Policy Response in the United States
(Vanderbilt University, 2004)
We propose a methodology for constructing operational indices of inflation pressure, the monetary authority's effort to reduce this pressure, and the degree to which inflation pressure is alleviated. We begin with model ...
Menu Costs and Markov Inflation:A Theoretical Revision with New Evidence
(Vanderbilt University, 2006)
We revisit a foundational theoretical paper in the menu cost literature, Sheshinski and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, ...
Persistence in Law-of-One-Price Deviations: Evidence from Micro-data
(Vanderbilt University, 2006)
We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 63 countries and 258 goods prices drawn from 13 major U.S. cities. We find the half-life of ...
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
(Vanderbilt University, 2003)
This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce ...
Bootstrapping GMM Estimators for Time Series
(Vanderbilt University, 2001)
This paper establishes that the bootstrap provides asymptotic refinements for the generalized method of moments estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. ...
Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information'
(Vanderbilt University, 2008)
Volatile and persistent real exchange rates are observed not only in aggregate series but also in the individual good level data. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price ...
Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan
(Vanderbilt University, 2003)
This paper extends the diffusion index (DI) forecast approach of Stock and Watson (1998, 2002) to the case of possibly nonlinear dynamic factor models. When the number of series is large, a two-step procedure based on the ...
On the Long-Run Variance Ratio Test for a Unit Root
(Vanderbilt University, 2005)
This paper investigates the effects of consistent and inconsistent long-run variance estimation on a unit root test based on the generalization of the von Neumann ratio. The results from the Monte Carlo experiments suggest ...