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Why Are Long-Run Parameter Estimates So Disparate?

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Author Info

  • BEWLEY, R.
  • FIEBIG, D.G.

Abstract

The specification of dynamic models typically leads to the estimation of impact responses. A transformation that allows for the direct estimation of the implied long-run parameters is discussed and the problem of choosing an appropriate estimator is addressed. Because the standard estimators of long-run responses involve ratios of regression coefficients, they typically do not possess finite sample moments. We argue that this existence of moments problem is fundamental to the observed disparity of long-run estimates. Simulation experiments are used to evaluate the properties of the standard implied estimator and a minimum expected loss estimator. Copyright 1990 by MIT Press.

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Bibliographic Info

Paper provided by New South Wales - School of Economics in its series Papers with number 89-3.

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Length: 18 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:fth:nesowa:89-3

Contact details of provider:
Postal: THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.
Phone: (+61)-2-9385-3380
Fax: +61)-2- 9313- 6337
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Web page: http://www.economics.unsw.edu.au/
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Keywords: econometrics ; long term ; testing;

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Cited by:
  1. Kenneth W. Clements & Yihui Lan & Xueyan Zhao, 2005. "The Demand for Vice: Inter-Commodity Interactions with Uncertainty," Economics Discussion / Working Papers 05-30, The University of Western Australia, Department of Economics.
  2. Kesavan, T. & Aradhyula, Satheesh V. & Johnson, Stanley R., 1992. "Dynamics And Price Volatility In Farm-Retail Livestock Price Relationships," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(02), December.
  3. Kenneth Clements & Yihui Lan, 2007. "Exchange rates, productivity, poverty and inequality," Applied Economics, Taylor & Francis Journals, vol. 39(4), pages 471-476.
  4. Bewlwy, R. & Fiebig, D.G., 1991. "Estimation of Long-Run Responses in Dynamic Models with Integrated Data," Papers 91-11, New South Wales - School of Economics.
  5. repec:ltr:wpaper:2010.06 is not listed on IDEAS
  6. Clements, Kenneth W. & Lan, Yihui, 2010. "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1424-1437, November.
  7. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
  8. Russell L. Lamb & Francis X. Diebold, 1996. "Why are estimates of agricultural supply response so variable?," Finance and Economics Discussion Series 96-8, Board of Governors of the Federal Reserve System (U.S.).
  9. Arize, Augustine C. & Osang, Thomas & Slottje, Daniel J., 2008. "Exchange-rate volatility in Latin America and its impact on foreign trade," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 33-44.
  10. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part II: Aspects of Exchange-Rate Economics," Economics Discussion / Working Papers 03-06, The University of Western Australia, Department of Economics.
  11. T. Kesavan & Zuhair A. Hassan & Helen H. Jensen & Stanley R. Johnson, 1988. "Dynamics and Long-run Structure in U.S. Meat Demand," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp38, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
  12. Kim, Jae H. & Fraser, Iain & Hyndman, Rob J., 2011. "Improved interval estimation of long run response from a dynamic linear model: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 55(8), pages 2477-2489, August.
  13. Shen, Edward Z. & Perloff, Jeffrey M., 2001. "Maximum entropy and Bayesian approaches to the ratio problem," Journal of Econometrics, Elsevier, vol. 104(2), pages 289-313, September.

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