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Now showing items 11-16 of 16
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 ...
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 ...
Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis
(Vanderbilt University, 2009)
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the ...
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 ...
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 ...
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, ...