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The Grid Bootstrap And The Autoregressive Model

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Cited by:

  1. Fallahi, Firouz & Voia, Marcel-Cristian, 2015. "Convergence and persistence in per capita energy use among OECD countries: Revisited using confidence intervals," Energy Economics, Elsevier, vol. 52(PA), pages 246-253.
  2. Cheng, Shu-Ching & Wu, Tsung-pao & Lee, Kuei-Chiu & Chang, Tsangyao, 2014. "Flexible Fourier unit root test of unemployment for PIIGS countries," Economic Modelling, Elsevier, vol. 36(C), pages 142-148.
  3. Gerlach, Stefan & Tillmann, Peter, 2010. "Inflation Targeting and Inflation Persistence in Asia," CEPR Discussion Papers 8046, C.E.P.R. Discussion Papers.
  4. Ulrich K. Müller & Andriy Norets, 2016. "Coverage Inducing Priors in Nonstandard Inference Problems," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1233-1241, July.
  5. Francis Leni Anguyo & Rangan Gupta & Kevin Kotzé, 2020. "Inflation dynamics in Uganda: a quantile regression approach," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 13(2), pages 161-187, May.
  6. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
  7. Peter Tillmann, 2010. "The changing nature of inflation persistence in Switzerland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(4), pages 445-453, November.
  8. Zhang, Chengsi & Clovis, Joel, 2010. "China inflation dynamics: Persistence and policy regimes," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 373-388, May.
  9. Davidson, Russell & Flachaire, Emmanuel, 2007. "Asymptotic and bootstrap inference for inequality and poverty measures," Journal of Econometrics, Elsevier, vol. 141(1), pages 141-166, November.
  10. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
  11. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
  12. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
  13. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  14. Gerard O'Reilly & Karl Whelan, 2005. "Has Euro-Area Inflation Persistence Changed Over Time?," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 709-720, November.
  15. Carlos Medel, 2017. "Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 004-050, December.
  16. Kim, Hyeongwoo & Stern, Liliana V. & Stern, Michael L., 2010. "Half-life bias correction and the G7 stock markets," Economics Letters, Elsevier, vol. 109(1), pages 1-3, October.
  17. Jeremy Rudd & Karl Whelan, 2007. "Modeling Inflation Dynamics: A Critical Review of Recent Research," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 155-170, February.
  18. Gerlach, Stefan & Tillmann, Peter, 2012. "Inflation targeting and inflation persistence in Asia–Pacific," Journal of Asian Economics, Elsevier, vol. 23(4), pages 360-373.
  19. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
  20. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "A nonparametric study of real exchange rate persistence over a century," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
  21. Klaus Schmidt-Hebbel & Carl E. Walsh, 2009. "Monetary Policy and Key Unobservables: Evidence from Large Industrial and Selected Inflation-Targeting Countries," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 9, pages 285-370, Central Bank of Chile.
  22. Ozdemir, Zeynel Abidin & Cakan, Esin, 2010. "The persistence in real exchange rate: Evidence from East Asian countries," Economic Modelling, Elsevier, vol. 27(5), pages 891-895, September.
  23. Mohitosh Kejriwal & Xuewen Yu, 2019. "Generalized Forecasr Averaging in Autoregressions with a Near Unit Root," Purdue University Economics Working Papers 1318, Purdue University, Department of Economics.
  24. Tomas Adam & Robert Ambrisko & Oxana Babecka Kucharcukova & Jan Babecky & Sona Benecka & Jan Bruha & Vilma Dingova & Dana Hajkova & Tomas Holub & Eva Hromadkova & David Kocourek & Lubos Komarek & Zlat, 2014. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2014," Occasional Publications - Edited Volumes, Czech National Bank, number as14 edited by Kamila Kulhava & Jakub Mateju, March.
  25. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, Oxford University Press, vol. 133(3), pages 1283-1330.
  26. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017. "“Unbiased estimation of autoregressive models forbounded stochastic processes," AQR Working Papers 201710, University of Barcelona, Regional Quantitative Analysis Group, revised Dec 2017.
  27. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-369, April.
  28. Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
  29. Andrea Vaona & Guido Ascari, 2012. "Regional Inflation Persistence: Evidence from Italy," Regional Studies, Taylor & Francis Journals, vol. 46(4), pages 509-523, June.
  30. Jón Steinsson, 2008. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," American Economic Review, American Economic Association, vol. 98(1), pages 519-533, March.
  31. Kenji Moriyama, 2011. "Inflation Inertia in Egypt and its Policy Implications," IMF Working Papers 11/160, International Monetary Fund.
  32. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  33. Benati, Luca, 2007. "Drift and breaks in labor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
  34. Luca Benati, 2005. "U.K. Monetary Regimes and Macroeconomic Stylised Facts," Computing in Economics and Finance 2005 107, Society for Computational Economics.
  35. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
  36. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011. "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2078-2104.
  37. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
  38. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
  39. Catherine ARAUJO BONJEAN & Jean-François BRUN, 2010. "Price Transmission in the Cocoa-Chocolate Chain," Working Papers 201003, CERDI.
  40. Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, vol. 100(2), pages 317-320, August.
  41. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  42. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
  43. Choi, Chi-Young & Choi, Horag, 2016. "The role of two frictions in geographic price dispersion: When market friction meets nominal rigidity," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 1-27.
  44. James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2017. "Bootstrap And Asymptotic Inference With Multiway Clustering," Working Paper 1386, Economics Department, Queen's University.
  45. McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
  46. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.
  47. Wolters Maik H. & Tillmann Peter, 2015. "The changing dynamics of US inflation persistence: a quantile regression approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 161-182, April.
  48. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.
  49. Carlos Capistrán & Manuel Ramos‐Francia, 2009. "Inflation Dynamics In Latin America," Contemporary Economic Policy, Western Economic Association International, vol. 27(3), pages 349-362, July.
  50. Baharumshah & Siew-Voon Soon & Wohar, 2015. "Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model," Applied Economics, Taylor & Francis Journals, vol. 47(59), pages 6395-6408, December.
  51. Bilke, Laurent, 2005. "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series 463, European Central Bank.
  52. Sanghamitra Bandyopadhyay, 2016. "The persistence of inequality across Indian states," Working Papers 74, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
  53. Michal Franta & Branislav Saxa & Katerina Smidkova, 2007. "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers 2007/10, Czech National Bank.
  54. Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017. "Online Appendix for: International Evidence on Long-Run Money Demand," Working Papers 738, Federal Reserve Bank of Minneapolis, revised 10 Feb 2017.
  55. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
  56. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
  57. Jonathan L. Willis, 2003. "Implications of structural changes in the U.S. economy for pricing behavior and inflation dynamics," Economic Review, Federal Reserve Bank of Kansas City, vol. 88(Q I), pages 5-27.
  58. Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
  59. Jan Babecky & Oxana Babetskaia-Kukharchuk & Kamil Galuscak & Dana Hajkova & Jaroslav Hermanek & Tomas Holub & Roman Horvath & Petr Jakubik & Lubos Komarek & Zlatuse Komarkova & Petr Kral & Filip Novot, 2008. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2008," Occasional Publications - Edited Volumes, Czech National Bank, number as08 edited by Dana Hajkova, March.
  60. James G. MacKinnon & Morten Ø. Nielsen & Matthew D. Webb, 2019. "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," Working Paper 1415, Economics Department, Queen's University.
  61. Carlos A. Medel & Pablo M. Pincheira, 2016. "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 126-131, January.
  62. Stephen G. Cecchetti & Guy Debelle, 2006. "Has the inflation process changed?," Economic Policy, CEPR;CES;MSH, vol. 21(46), pages 311-352, April.
  63. Peter Tillmann, 2013. "Inflation Targeting and Regional Inflation Persistence: Evidence from Korea," Pacific Economic Review, Wiley Blackwell, vol. 18(2), pages 147-161, May.
  64. Luca Benati, 2008. "Investigating Inflation Persistence Across Monetary Regimes," The Quarterly Journal of Economics, Oxford University Press, vol. 123(3), pages 1005-1060.
  65. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
  66. Zhang, Chengsi, 2011. "Inflation persistence, inflation expectations, and monetary policy in China," Economic Modelling, Elsevier, vol. 28(1), pages 622-629.
  67. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
  68. Candian, Giacomo, 2019. "Information frictions and real exchange rate dynamics," Journal of International Economics, Elsevier, vol. 116(C), pages 189-205.
  69. Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
  70. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
  71. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
  72. Joseph P. Byrne & Alexandros Kontonikas & Alberto Montagnoli, 2010. "The Time‐Series Properties Of Uk Inflation: Evidence From Aggregate And Disaggregate Data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(1), pages 33-47, February.
  73. Catherine ARAUJO BONJEAN & Jean-François BRUN, 2014. "Chocolate price fluctuations may cause depression: an analysis of price pass-through in the cocoa chain," Working Papers 201420, CERDI.
  74. Lieberman, Offer & Phillips, Peter C.B., 2020. "Hybrid stochastic local unit roots," Journal of Econometrics, Elsevier, vol. 215(1), pages 257-285.
  75. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R., 2012. "Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments," CEPR Discussion Papers 9056, C.E.P.R. Discussion Papers.
  76. Katerina Arnostova & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Martin Gurtler & Tomas Holub & Eva Hromadkova & Lubos Komarek & Zlatuse Komarkova & Petr Kr, 2016. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2016," Occasional Publications - Edited Volumes, Czech National Bank, number as16 edited by Katerina Arnostova & Lucie Matejkova, March.
  77. Kim, Hyeongwoo & Durmaz, Nazif, 2012. "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, vol. 28(3), pages 575-586.
  78. van der Cruijsen, Carin & Demertzis, Maria, 2007. "The impact of central bank transparency on inflation expectations," European Journal of Political Economy, Elsevier, vol. 23(1), pages 51-66, March.
  79. Contessi, Silvio & De Pace, Pierangelo & Francis, Johanna L., 2013. "The cyclical properties of disaggregated capital flows," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 528-555.
  80. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  81. Karanasos, M. & Sekioua, S.H. & Zeng, N., 2006. "On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data," Economics Letters, Elsevier, vol. 90(2), pages 163-169, February.
  82. Nezir Kose & Yeliz Yalcin & Eray Yucel, 2018. "Performance of inflation targeting in retrospect," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 197-213, February.
  83. Benati, Luca, 2014. "Do TFP and the relative price of investment share a common I(1) component?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 239-261.
  84. Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers 1841, Banco de España;Working Papers Homepage.
  85. Hyeongwoo Kim & Ippei Fujiwara & Bruce E. Hansen & Masao Ogaki, 2015. "Purchasing Power Parity and the Taylor Rule," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 874-903, September.
  86. Chengsi Zhang & Joel Clovis, 2009. "Modeling China Inflation Persistence," Annals of Economics and Finance, Society for AEF, vol. 10(1), pages 89-110, May.
  87. Kim, Hyeongwoo & Moh, Young-Kyu, 2012. "Examining the evidence of purchasing power parity by recursive mean adjustment," Economic Modelling, Elsevier, vol. 29(5), pages 1850-1857.
  88. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
  89. Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
  90. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Kamil Galuscak & Tomas Holub & Eva Hromadkova & Lubos Komarek & Zlatuse Komarkova & Kamila Kulhava , 2015. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2015," Occasional Publications - Edited Volumes, Czech National Bank, number as15 edited by Kamila Kulhava & Lucie Matejkova, March.
  91. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
  92. Fallahi, Firouz, 2012. "The stationarity of consumption–income ratios: Evidence from bootstrapping confidence intervals," Economics Letters, Elsevier, vol. 115(1), pages 137-140.
  93. van der Cruijsen, C.A.B., 2008. "The economic impact of central bank transparency," Other publications TiSEM 86c1ba91-1952-45b4-adac-8, Tilburg University, School of Economics and Management.
  94. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
  95. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
  96. Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
  97. Ahmad, Yamin S. & Staveley-O’Carroll, Olena M., 2017. "Exploring international differences in inflation dynamics," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 115-135.
  98. A. Melander & G. Sismanidis & D. Grenouilleau, 2007. "The track record of the Commission's forecasts - an update," European Economy - Economic Papers 2008 - 2015 291, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  99. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
  100. de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
  101. Kim, Jaebeom, 2014. "Inflation targeting and real exchange rates: A bias correction approach," Economics Letters, Elsevier, vol. 125(2), pages 253-256.
  102. Daniel Kaufmann, 2016. "Is Deflation Costly After All? Evidence from Noisy Historical Data," KOF Working papers 16-421, KOF Swiss Economic Institute, ETH Zurich.
  103. Bilke, L., 2005. "Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI," Working papers 122, Banque de France.
  104. van Giersbergen, Noud P. A. & Kiviet, Jan F., 2002. "How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach," Journal of Econometrics, Elsevier, vol. 108(1), pages 133-156, May.
  105. Burstein, Ariel & Gopinath, Gita, 2014. "International Prices and Exchange Rates," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.),Handbook of International Economics, edition 1, volume 4, chapter 0, pages 391-451, Elsevier.
  106. Elliott, Graham & Stock, James H., 2001. "Confidence intervals for autoregressive coefficients near one," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 155-181, July.
  107. Hyeongwoo Kim & Young-Kyu Moh, 2009. "On the Importance of Span of the Data in Univariate Estimation of the Persistence in Real Exchange Rates," Economics Bulletin, AccessEcon, vol. 29(1), pages 129-140.
  108. Carlos A. Medel, 2018. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," International Economic Journal, Taylor & Francis Journals, vol. 32(3), pages 331-371, July.
  109. Lendvai, Julia, 2006. "Inflation dynamics and regime shifts," Working Paper Series 684, European Central Bank.
  110. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, Open Access Journal, vol. 8(2), pages 1-26, April.
  111. Khundrakpam, Jeevan K., 2008. "How Persistent is Indian Inflationary Process, Has it Changed?," MPRA Paper 50927, University Library of Munich, Germany.
  112. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
  113. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
  114. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2015. "Small sample performance of indirect inference on DSGE models," Cardiff Economics Working Papers E2015/2, Cardiff University, Cardiff Business School, Economics Section.
  115. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
  116. Moreira, Marcelo J. & Mourão, Rafael & Moreira, Humberto Ataíde, 2016. "A critical value function approach, with an application to persistent time-series," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 778, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  117. Sofiane Sekioua & Menelaos Karanasos, 2006. "The real exchange rate and the Purchasing Power Parity puzzle: further evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 199-211.
  118. Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
  119. Katerina Arnostova & Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Martin Gurtler & Tibor Hledik & Tomas Holub & Eva Hromadkova & Lubos Komarek &, 2017. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2017," Occasional Publications - Edited Volumes, Czech National Bank, number as17 edited by Katerina Arnostova & Lucie Matejkova, March.
  120. Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
  121. Sizova, Natalia, 2014. "A frequency-domain alternative to long-horizon regressions with application to return predictability," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 261-272.
  122. Vo Le & David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2016. "Testing Macro Models by Indirect Inference: A Survey for Users," Open Economies Review, Springer, vol. 27(1), pages 1-38, February.
  123. Chengsi Zhang & Joel Clovis, 2009. "Modeling US inflation dynamics: persistence and monetary policy regimes," Empirical Economics, Springer, vol. 36(2), pages 455-477, May.
  124. Lui, Yiu Lim & Xiao, Weilin & Yu, Jun, 2018. "The Grid Bootstrap for Continuous Time Models," Economics and Statistics Working Papers 20-2018, Singapore Management University, School of Economics.
  125. Ding, Hui & Kim, Jaebeom, 2017. "Inflation-targeting and real interest rate parity: A bias correction approach," Economic Modelling, Elsevier, vol. 60(C), pages 132-137.
  126. Carlos Usabiaga & Diego Romero-Ávila, 2012. "New Disaggregate Evidence on Spanish Inflation Persistence," EcoMod2012 3800, EcoMod.
  127. Aliyu, Shehu Usman Rano & Englama, Abwaku, 2009. "Is Nigeria Ready for Inflation Targeting?," MPRA Paper 14870, University Library of Munich, Germany, revised 26 Apr 2009.
  128. Sebastian Galiani & Martin Gonzalez-Rozada, 2002. "Inference and estimation in small sample dynamic panel data models," Business School Working Papers treinta, Universidad Torcuato Di Tella.
  129. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
  130. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  131. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
  132. G. K. Randolph Tan, 2006. "Robust Inference for Measures of Persistence in Singapore Sectoral Property Price Indexes," Journal of Property Research, Taylor & Francis Journals, vol. 23(4), pages 305-321, October.
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