Our results complement the recent ̄ndings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the speci ̄cs of the time series process. The novelty of the approach we apply is in emphasizing the information content of the data in distinguishing between the competing processes. Stationa...

Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested. Email: [email protected], [email protected] Keyword: Measurement error, cointegrating vector, filter...

In this paper, I find that real U.S. GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance. JEL Classification: E32, C22, E27.

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

abstract oil export revenues have a major share in both iranian government incomes and gross domestic product (gdp). with regard to the importance of agricultural sector in economic growth, rural development and rural welfare improvement, this sector indubitably influenced by temporary and unexpected shocks in oil export. therefore we employed feder(1982) and auto-regressive distributed lag (ar...

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution...

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution...

This paper assesses the long-run bilateral trade relations between the US and Mexico. North American Free Trade Agreement (NAFTA) had no additional impacts on import functions. Gradual switching existed even before the agreement became effective. © 2002 Society for Policy Modeling. Published by Elsevier Science Inc. All rights reserved. JEL classification: F13; C22

This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence...

This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22