Pitfalls in testing for long run relationships
نویسندگان
چکیده
منابع مشابه
Reputation in Long-run Relationships
We model a long-run relationship as an infinitely repeated game played by two equally patient agents. In each period, the agents play an extensive-form game of perfect information. There is incomplete information about the type of player 1 while player 2’s type is commonly known. We show that a sufficiently patient player 1 can leverage player 2’s uncertainty about his type to secure his highes...
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K ey classical macroeconomic hypotheses specify that permanent changes in nominal variables have no effect on real economic variables in the long run. The simplest “long-run neutrality” proposition specifies that a permanent change in the money stock has no long-run consequences for the level of real output. Other classical hypotheses specify that a permanent change in the rate of inflation has...
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For games of public reputation with uncertainty over types and imperfect public monitoring, Cripps, Mailath, and Samuelson (2004) showed that an informed player facing short-lived uninformed opponents cannot maintain a permanent reputation for playing a strategy that is not part of an equilibrium of the game without uncertainty over types. This paper extends that result to games in which the un...
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Hypothesis testing on cointegrating vectors based on the asymptotic distributions of the test statistics are known to suffer from severe small sample size distortion. In this paper a bootstrap procedure for carrying out such tests is proposed and evaluated through a Monte Carlo experiment, finding that the Type I errors are always close to the nominal significance levels but power might be not ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1998
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(97)00111-5