The paper considers estimation and inference of time series GMM models where a subset of parameters are time varying. The magnitude of the time variation in the unstable parameters is such that efficient tests detect the instability with (possibly high) probability smaller than one, even in the limit. We show that for many forms of parameter instability and for a large class of GMM models, stan...

Kazakhstan's export relies heavily on oil and other natural resources. Therefore, fluctuations in world prices have important consequences for economy. The effect of the real exchange rate is very economies trying to develop sectors as well gas such Kazakhstan. purpose this study examine possible asymmetric relationships between effective Kazakhstan period January 2010-December 2020. For purpos...

This study examines the relationship between renewable energy consumption, poverty alleviation and economic growth in South Africa. The paper applies Autoregressive distributed lag (ARDL) model to examine long run Vector Error Correction Model (VECM) determine direction of causality variables. Quarterly data is used for period 1990 – 2018. findings established a presence poverty, growth, financ...

The natural rate is the equilibrium rate under flexible prices, and the gap is the difference between the actual and natural rates. Since prices adjust eventually, the Beveridge–Nelson (B–N) decomposition gives the statistical counterparts of the two notions. Measuring cycles in the gap is of interest from the new neoclassical synthesis perspective. The Bayesian multivariate B–N decomposition g...

Two sources of asymmetry in the Phillips curve are considered: the “capacity constraint hypothesis” and downward rigidity on wages and/or prices. The short run trade-off between inflation changes and the unemployment gap is modeled in a state-space framework that allows for time variation in both the NAIRU and the trade-off parameter. Empirical evidence for the US using the Kalman filter favors...

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for business cycle fluctuations this link exists especially at low frequencies. Thus, short-run phenomena like...

When impulse responses in dynamic multivariate models such as identified VARs are given economic interpretations, it is important that reliable statistical inferences be provided. Before probability assessments are provided, however, the model must be normalized. Contrary to the conventional wisdom, this paper argues that normalization, a rule of reversing signs of coefficients in equations in ...

We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about ...

Regulatory reform in the Nordic electricity-supply markets has resulted in a single integrated Nordic electricity market. This paper performs an econometric study of market power in the spot market of Nord Pool, the joint Nordic power exchange. I use a dynamic extension of the Bresnahan-Lau model, and weekly data for the period from 1996 through April 1999. To my knowledge, this is the first st...

We analyze the limiting distribution of Rivers and Vuong’s (2002) statistic for choosing between two competing dynamic models based on a comparison of GMM minimands. It is shown that: (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if b...