Drift and breaks in labor productivity

DOI10.1016/J.JEDC.2006.11.004zbMath1163.91527OpenAlexW3122614603MaRDI QIDQ1027397

Luca Benati

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp718.pdf

zbMATH Keywords

time-varying parametersMonte Carlo integrationbootstrappingmedian-unbiased estimationstructural break tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Economic time series analysis (91B84) Production theory, theory of the firm (91B38) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Investigating time-variation in the marginal predictive power of the yield spread ⋮ The time varying effect of oil price shocks on Euro-area exports ⋮ Do TFP and the relative price of investment share a common I(1) component? ⋮ The Time-Varying Beveridge Curve

Cites Work

• Time-varying equilibrium real rates and monetary policy analysis
• A standard error for the estimated state vector of a state-space model
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for the Constancy of Parameters Over Time
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes

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