We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests. The empirical size of these tests is also found to be sensitive to the location of the outlier. JEL classification: C15, C22

This paper estimates the speed of the adjustment coefficient in structural error correction models (ECM) and employs a system method for real exchange rates with Hansen and Sargent’s (1980, 1982) IV methods. Empirical results show that the half-lives of purchasing power parity deviations are less than one year in most cases. JEL classification: C22, F31, F41

This study shows that annual output data of the G7 countries in the twentieth century are better characterized as transitory deviations from a (shifting) growth trend than as integrated processes. Furthermore, I find no two countries share common business cycles. JEL classification: C22, E32, 057

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...

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 estimates a structural cointegrating varx model with exogenous variables for iran. the long-run macroeconomic relationships are identified and tested within this framework. we make use of the generalized forecast error variance decomposition to analyze the dynamic properties of the model in response to different shocks. we also examine via the persistence profiles, the speed of adjus...