Search results for "Structural break"
showing 5 items of 15 documents
Estimating the substitutability between private and public consumption: the case of Spain, 1960–2003
2005
This paper examines the relationship between private and public consumption using Spanish data over the period 1960–2003, using a two-good permanent-income model. We extend previous analysis addressing the question of whether this relationship is stable over time, or exhibits a structural break allowing the instability to occur at an unknown point in time. Our empirical results indicated the existence of a long-run relationship between private and public consumption. We also detect a structural change of regime shift in the cointegration regression around the time of 1973–74. Finally, the estimated intratemporal and intertemporal elasticities of substitution between the two types of expendi…
The euro impact on trade: long run evidence with structural breaks
2012
In this paper we present new evidence on the euro effect on trade. We use a data set containing all bilateral combinations in a panel of 26 OECD countries during the period 1967-2008. From a methodological point of view, we implement a new generation of tests that allow solving some of the problems derived from the non-stationary nature of the data. To this aim we apply panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carrióni- Silvestre (2010). We also efficiently estimate the long-run…
Wavelet Analysis and Denoising: New Tools for Economists
2007
This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used show how the frequency content of the data varies with time. This allow us to pinpoint in time such events as major structural breaks. The sparse nature of the wavelets representation also facilitates the process of noise reduction by nonlinear \textit{wavelet shrinkage,} which can be used to reveal the underlying trends in economic data. An application of these techniques to the UK real GDP (1873--2001) is described. The purpo…
On the Substitutability between Paid-employment and Self-employment: Evidence from the Period 1969–2014 in the United States
2019
This paper provides estimates of the elasticity of substitution between operational and managerial jobs in the US economy during the years 1969–2014, derived from an aggregate CES production function. Estimating the long-term relationship between (the log of) the aggregate employment/self-employment ratio and (the log of) the returns from paid-employment relative to self-employment and testing for structural breaks, we report different estimates of the elasticity of substitution in each of the two regimes identified. To this end we apply the methodology on instability tests proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and Kurozumi (2007) …
EMU and Trade Revisited: Long-Run Evidence Using Gravity Equations
2013
In this paper, we present evidence of the long-run effect of the euro on trade for the twelve initial EMU countries for the period 1967–2008 from a double perspective. First, we pool all the bilateral combinations of trade flows among the EMU countries in a panel cointegration gravity specification. Second, we estimate a gravity equation for each of the EMU members vis-a-vis the other eleven partners. We apply panel cointegration techniques based on factor models that account for cross-dependence and structural breaks. Whereas the joint gravity equation provides evidence on the aggregate effect of the euro on intra-European trade, by isolating the individual countries, we assess which of th…