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Summary It is well known that there is a large degree of uncertainty around Rogoff's consensus half‐life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half‐lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non‐parametric grid bootstrap confidence intervals. Applying the method to…

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动态似不相关协整回归AI 解读

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments where the cross section is small relative to the available time series. We study the asymptotic and small sample properties of the DSUR estimator for both heterogeneous and…

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实际工资、消费与资产收益的时间序列分析AI 解读

This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical rejections of the model have suggested that the optimal labour contract model might be appropriate for understanding the time series properties of the real wage rate and consumption. We show that an optimal contract model restricts the long-run relation of the real wage rate and consumption. We exploit…

恩格尔定律与协整AI 解读

A time-series counterpart of Engel's law is that the expenditure share on food declines as the economy grows. The main purpose of this paper is to test whether Houthakker's addilog utility function can simultaneously explain this time-series observation and cross-sectional observations concerning Engel's law. Masao Ogaki and Joon Y. Park's cointegration approach is used to estimate parameters of the utility function from time-series data. Total expenditure elasticities…

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…