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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 ...
Persistence in Law-of-One-Price Deviations: Evidence from Micro-data
(Vanderbilt University, 2002)
We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 71 countries and 245 goods prices drawn from 13 major U.S. cities. We find half-lives of deviations ...
A Nonparametric Measure of Convergence Toward Purchasing Power Parity
(Vanderbilt University, 2002)
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost ...
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. ...
Testing for a Unit Root against Transitional Autoregressive Models
(Vanderbilt University, 2005)
This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear ...
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 ...
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 ...
Measuring the Economic Impact of Monetary Union:The Case of Okinawa
(Vanderbilt University, 2003)
Data from Okinawa's monetary union with the United States in 1958 and with Japan in 1972 are used to obtain a quantitative indication of how monetary union might affect the behavior of nominal and real shocks across two ...
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 ...
Is There Chaos in the World Economy?A Nonparametric Test Using Consistent Standard Errors
(Vanderbilt University, 2001)
A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our ...