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In this paper we propose a time varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity(More)
Note that the function ϕ (x) is an element of the Hilbert space L 2 [0, 1] of square integrable real functions on [0, 1], with inner product hf, gi = R 1 0 f (x)g(x)dx and associated norm ||f || = p hf, f i and metric ||f − g||. We first show that the sequence κ j (x) = ½ 1 for j = 0, √ 2 cos (jπx) for j = 1, 2, 3, .... (1) is a complete orthonormal(More)
In this paper, we examine parameter identi…cation in the hybrid speci…cation of the New Keynesian Phillips Curve proposed by Gali and Gertler (1999). We employ recently developed moment-conditions inference procedures, which provide a more e¢ cient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of(More)
We study the determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, the results indicate that CDS spreads are also determined by illiquidity costs. However, contrary to stocks or bonds, we show that CDS transaction costs should be measured by absolute, rather than relative, bid-ask spreads.(More)
Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in applications in which there is a large number of candidate(More)
As part of a combined experimental and theoretical study of the thermodynamic properties of perfluoroalkylalkanes (PFAAs), the liquid density of perfluorobutylpentane (F4H5), perfluorobutylhexane (F4H6), and perfluorobutyloctane (F4H8) was measured as a function of temperature from 278.15 to 353.15 K and from atmospheric pressure to 70 MPa. The liquid(More)
JEL Classification: C22 C52 G15 Keywords: Financial markets Financial integration Long run analysis Local nonstationarity Markov switching a b s t r a c t International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an 'interrupted' Markov(More)
The analyses, opinions and fi ndings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal or the Eurosystem. Abstract In this paper we propose an approach to detect persistence changes in fractionally integrated models based on recursive forward and backward estimation of the Breitung and Hassler (2002)(More)
This paper considers moment conditions model averaging estimators in the Generalized Method of Moments (GMM) framework. We propose using moment selection criteria to select weights for averaging across GMM estimates. This can be achieved by direct smoothing of information criteria arising from the estimation stage, or by numerical minimization of a specific(More)
The solubility of xenon in liquid n-pentane and n-hexane has been studied experimentally, theoretically, and by computer simulation. Measurements of the solubility are reported for xenon + n-pentane as a function of temperature from 254 to 305 K. The uncertainty in the experimental data is less than 0.15%. The thermodynamic functions of solvation such as(More)