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A Discrete-Time Version of Target Zone Models with Jumps

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  • Pesaran, M.H.
  • Ruge-Murcia, F.J.

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  • Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Handle: RePEc:mtl:montec:9530
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    as
    1. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
    2. Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-163, April-Jun.
    3. Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003. "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
    4. Sprumont, Y., 1995. "An Axiomatization of the Pazner-Schmeidler Rules in Large Fair Division Problems," Cahiers de recherche 9512, Universite de Montreal, Departement de sciences economiques.
    5. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
    6. Parent, Daniel, 2002. "Matching, human capital, and the covariance structure of earnings," Labour Economics, Elsevier, vol. 9(3), pages 375-404, July.
    7. Daniel Parent, 1995. "Industry-Specific Capital and the Wage Profile: Evidence from the NLSY and the PSID," CIRANO Working Papers 95s-26, CIRANO.
    8. Ng, Serena & Schaller, Huntley, 1996. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 375-383, August.
    9. Cardia, E. & Ambler, S., 1995. "Indexation Lags Heterodox Stabilization Programs," Cahiers de recherche 9504, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    10. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
    11. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    12. Giuseppe Bertola & Lars E. O. Svensson, 1993. "Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models," Review of Economic Studies, Oxford University Press, vol. 60(3), pages 689-712.
    13. John M. Abowd & Francis Kramarz & David N. Margolis, 1999. "High Wage Workers and High Wage Firms," Econometrica, Econometric Society, vol. 67(2), pages 251-334, March.
    14. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
    15. Daniel Parent, 1995. "Matching, Human Capital, and the Covariance Structure of Earnings," Working Papers 730, Princeton University, Department of Economics, Industrial Relations Section..
    16. Garcia, R., 1995. "Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models," Cahiers de recherche 9510, Universite de Montreal, Departement de sciences economiques.
    17. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
    18. repec:fth:prinin:350 is not listed on IDEAS
    19. Ng, Serena, 1996. "Looking for evidence of speculative stockholding in commodity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143.
    20. Daniel Parent, 1995. "Survol des contributions théoriques et empiriques liées au capital humain," CIRANO Working Papers 95s-28, CIRANO.
    21. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
    22. Parent, Daniel, 1996. "Survol des contributions théoriques et empiriques liées au capital humain," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(3), pages 315-356, septembre.
    23. repec:fth:prinin:351 is not listed on IDEAS
    24. Pesaran, M. Hashem & Samiei, Hossein, 1992. "Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 141-163.
    25. Parent, Daniel, 1999. "Wages and Mobility: The Impact of Employer-Provided Training," Journal of Labor Economics, University of Chicago Press, vol. 17(2), pages 298-317, April.
    26. Daniel Parent, 1995. "Industry-Specific Capital and the Wage Profile: Evidence from the NLSY and the PSID," Working Papers 729, Princeton University, Department of Economics, Industrial Relations Section..
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    Cited by:

    1. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
    2. Pesaran, M. Hashem & Samiei, Hossein, 1995. "Limited-dependent rational expectations models with future expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1325-1353, November.
    3. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    4. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.

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