Browsing ECO Articles by Title

; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; AVDOULAS, ChristosDate:2019Citation:Computational economics, 2019, Vol. 53, No. 2, pp. 783-816Type:ArticleAbstract:Parametric, simulation-based and hybrid methods are utilized to estimate various risk measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall. An exhaustive backtesting analysis is performed ...

Title:A tale of two shocks : the dynamics of international real estate markets Author(s):BEKIROS, Stelios D.

; DAHLSTROM, Amanda; UDDIN, Gazi Salah; EGE, Oskar; JAYASEKERA, RanadevaDate:2020Citation:International journal of finance & economics, 2020, Vol. 25, No. 1, pp. 3-27Type:ArticleAbstract:We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, ...

Title:Taxes, cigarette consumption and smoking intensity : reply Author(s):ADDA, Jérôme; CORNAGLIA, FrancescaDate:2013Citation:American Economic Review, 2013, Vol. 103, No. 7, pp. 3102-3114Type:ArticleAbstract:This paper shows that smoking intensity, i.e. the amount of nicotine extracted per cigarette smoked, responds to changes in excise taxes and tobacco prices. We exploit NHANES data covering the period 1988 to 2006 across ...

Title:Taxing banks : an evaluation of the German bank levy Author(s):BUCH, Claudia M.; HILBERG, Bjoern; TONZER, LenaDate:2016Citation:Journal of banking & finance, 2016, Vol. 72, pp. 52-66Version:Is based on author's (TONZER, Lena) EUI PhD thesis, 2014Type:ArticleAbstract:Bank distress can have severe negative consequences for the stability of the financial system. Regimes for the restructuring and resolution of banks, financed by bank levies, aim at reducing these costs. This paper evaluates ...

Title:Technological adaptation, trade, and growth Author(s):CHONG, Alberto; ZANFORLIN, LuisaDate:2001Citation:Weltwirtschaftliches Archiv, 2001, Vol. 137, No. 4, pp. 565-592Version:The article is based on findings of the author’s EUI PhD thesis, 1996Type:ArticleAbstract:Based on Grossman and Helpman's 1991 seminal work, the authors provide a simple model extension where innovations created in the high-tech sector may be assimilated or adapted by the lowtech sector, thus generating ...

Title:Technology and epidemics Author(s):CHONG, Alberto; ZANFORLIN, LuisaDate:2002Citation:IMF staff papers, 2002, Vol. 49, No. 3, pp. 426-455Version:The article is based on findings of the author’s EUI PhD thesis, 1996Type:ArticleAbstract:Evidence from historical and epidemiological literatures shows that epidemies tend to spread in the population according to a logistic pattern. We conjecture that the impact of new technologies on output follows a pattern ...

Title:Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model-Based Procedure Author(s):MARCELLINO, Massimiliano

Date:1998Citation:Advances In Econometrics, Vol 13 1998, 1998, 13, 181-202Type:ArticleAbstract:We suggest a simple non-model-based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the underlying process are introduced, it is shown that the procedure is ...

Title:Temporary Work Agencies in Italy: A Springboard Toward Permanent Employment? Author(s):ICHINO, Andrea

; MEALLI, Fabrizia; NANNICINI, TommasoDate:2005Citation:Giornale degli economisti e annali di economia, 2005, 64, 1, 1-27Type:Article

Title:Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time Author(s):LANNE, Markku; LUETKEPOHL, Helmut

; SAIKKONEN, PenttiDate:2003Citation:Oxford Bulletin of Economics and Statistics, 2003, 65, 1, 91-115.Type:ArticleAbstract:Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests ...

Title:Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models Author(s):JOHANSEN, Soren; SWENSEN, Anders RyghDate:1999Citation:Journal of Econometrics, 1999, 93, 1, 73-91Type:ArticleAbstract:This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations ...

Title:Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut

Date:2002Citation:Econometric Theory, 2002, 18, 2, 313-348.Type:ArticleAbstract:Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift ...

Title:Testing for Common Patterns in European Business Cycle Chronologies Author(s):ARTIS, Michael J.; TORO, JuanDate:2000Citation:Greek Economic Review, 2000, 20, 2Type:Article

Title:Testing for PPP: Should we use Panel Methods? Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano

; OSBAT, ChiaraDate:2005Citation:Empirical Economics , 2005, 30, 1, 77-91Type:ArticleAbstract:A common finding in the empirical literature on the validity of purchasing power parity (PPP) is that it holds when tested for in panel data, but not in univariate (i.e. country-specific) analysis. The usual explanation ...

Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, Helmut

Date:2008Citation:Journal of Time Series Analysis, 2008, 29, 2, 331-358Type:Article

Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time Author(s):LUETKEPOHL, Helmut

; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2004Citation:Econometrica, 2004, 72, 2, 647-662Type:Article

Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut

; SAIKKONEN, PenttiDate:2009Citation:Econometrics Journal, 2009, 12, 3, 414-435Type:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...

Title:Testing the Expectations Theory of the Term Structure of Interest Rates in Threshold Models Author(s):CLEMENTS, Michael P.; GALVAO, Ana Beatriz C.Date:2003Citation:Macroeconomic Dynamics, 2003, 7, 4, 567-585Type:ArticleAbstract:We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the ...

Title:Testing the Links between Institutional Integration and Trade Deepening. Clues from Europe Author(s):AGUR, Itai; DORRUCCI, Ettore; MONGELLI, Francesco PaoloDate:2007Citation:Open Economies Review, 2007, 18, 5, 599-612Type:ArticleAbstract:This paper investigates the interaction between institutional integration and trade deepening in the EU over the last 50 years. It uses Granger causality tests, a VECM and variance decompositions to further the understanding ...

Title:The 'price puzzle' in the monetary transmission VARs with long-run restrictions Author(s):KRUSEC, DejanDate:2010Citation:Economics letters, 2010, 106, 3, 147-150Type:ArticleAbstract:This study addresses the 'price puzzle' - a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest ...

Title:The Akzo Decision - A Case of Predatory Pricing Author(s):PHLIPS, Louis; MORAS, IMDate:1993Citation:Journal of Industrial Economics, 1993, 41, 3, 315-321Type:ArticleAbstract:In December 1985, a fine was imposed on the Dutch multinational AKZO for predatory abuse of a dominant position. An appeal by AKZO was rejected by the Court of Justice of the Communities in July 1991. This note suggests ...