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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)
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)
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)
As part of a systematic study of the thermophysical properties of two important classes of fluorinated organic compounds (perfluoroalkanes and perfluoroalkylalkanes), viscosity measurements of four n-perfluoroalkanes and five perfluoroalkylalkanes have been carried out at atmospheric pressure and over a wide range of temperatures (278-353 K). From the(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)
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)
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)