In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specified. We adopt a supremum Wald type test to account for the so-called Davies problem. The asymptotic null distributions...

The performance of a kernel HAC estimator depends on the accuracy of the estimation of the normalized curvature, an unknown quantity in the optimal bandwidth represented as the spectral density and its derivative. This paper proposes to estimate it with a general class of kernels. The AMSE of the kernel estimator and the AMSE-optimal bandwidth are derived. It is shown that the optimal bandwidth...

This paper provides empirical evidence for standard economic equilibrium relationships and shows that the estimated disequilibrium adjustment mechanisms appear running counter to intuition. For example, the German interest rate seems to adjust to Swiss rates but not vice versa implying a driving role of the Swiss with respect to the German rates. It is argued that this phenomenon is due to the ...

Employing the error correction method and historical decomposition with direct acyclic graphs, we quantify the impacts of domestic and oversea animal disease crises on the Korean meat markets. We find that (a) the market partially recovered 16 months after the foot-and-mouth outbreak in 2000, and 13 months after the avian influenza and the U.S. BSE incidents in 2003; (b) animal disease outbreak...

The Dynamics of Entrepreneurship: Hysteresis, Business Cycles and Government Policy This paper estimates an unobserved components model to explore the macro dynamics of entrepreneurship in Spain and the US. We ask whether entrepreneurship exhibits hysteresis, defined as a macro dynamic structure in which cyclical fluctuations have persistent effects on the natural rate of entrepreneurship. We f...

There are three leading explanations for the recent jobless recoveries: increasing importance of permanent shocks; long expansions creating greater need for restructuring; and structural changes that cause a shift towards adjusting labor inputs more at the intensive margin (hours) rather than the extensive margin (employment). This paper considers these competing explanations using a correlated...

This paper investigates the effects of fiscal policy on the trade balance using a structural factor model. A fiscal policy shock worsens the trade balance and produces an appreciation of the domestic currency but the effects are quantitatively small. The findings match the theoretical predictions of the standard Mundell-Fleming model, although fiscal policy should not be considered one of the m...

In this paper, we propose a model based on multivariate decomposition of multiplicative— absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We outline the construction of ...

The U.S. military, despite spending over $13 billion, appears powerless to stop the Iraqi insurgency’s improvised explosive devices (IEDs), which cause most of the military’s casualties and prevent victory by showing lawlessness and insecurity. However, this view ignores substitution effects we consider here. Using rational choice and expectations models, we find a backward-bending supply curve...

A MIDAS regression involves a dependent variable observed at a low frequency and independent variables observed at a higher frequency. This paper relates a true high frequency data generating process, where also the dependent variable is observed (hypothetically) at the high frequency, with a MIDAS regression. It is shown that a correctly specified MIDAS regression usually includes lagged depen...