This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of …nite-sample statistical inference. Monte Carlo experiments show that, in various circumstances, a mis-speci…ed partial VAR model, which is justi…ed by the existence of a long-run excluded variable, can lead to better …nite-sample inference for cointegrating rank than a fully-spec...

This paper provides an empirical assessment of the importance of sticky prices in accounting for the variations and the persistence in real exchange rates. Vector autoregressions with five variables from two countries that always include the United States are estimated. Restrictions are imposed to identify a global shock, and two sets of country specific output shocks. One set of shocks is asso...

We use generalized method of moments to estimate a rational expectations aggregate demand/aggregate supply macroeconomic model for five European economies and the United States. Our aim is to examine whether supply or demand shocks have predominated in these economies during the post-war era, and whether shocks of either type have been primarily temporary or permanent in nature. The estimation ...

This paper assesses empirically the relationship between GDP per capita growth uctuations and the age structure and intensity of human capital across developed and developing countries We estimate a spatial vector autoregressive model of income dynamics where the economic distance between countries is de ned on their similarity in measures of human capital and its distribu tion across age group...

This study uses the grader causality, Johansen co-integration, and error correction model tests to establish relationship between public debt on economy of Sierra Leone from 1986-2015. The economic implications using government as a drive fund expansionary fiscal policy inform policymakers consider viability government-funded projects social cost pursuing them. To achieve core objective, this a...

We calculate the NAIRU for the U.S. in a framework where inflation and the unemployment rate can respond to each other. The NAIRU is defined as the component of the actual unemployment rate that is uncorrelated with inflation in the long run. Using a structural VAR approach, the NAIRU and core inflation can be estimated simultaneously. Our estimation results show that the NAIRU falls dramatical...

This paper examines the e↵ects of intra-financial lending – claims between financial institutions – on aggregate investment and credit to the non-financial sector in the United States. Building on Montecino, Epstein, and Levina (2014) we document a large growth in intra-financial assets beginning in the early 1980s. Using a vector autoregression model, we find that intra-financial lending is ne...