Do TFP and the relative price of investment share a common I(1) component?

DOI10.1016/j.jedc.2014.05.019zbMath1402.91406OpenAlexW2084870308MaRDI QIDQ1994606

Luca Benati

Publication date: 1 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.05.019

zbMATH Keywords

cointegrationunit rootstechnology shocksstructural vars

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

Search frictions and evolving labour market dynamics ⋮ Identifying noise shocks

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Drift and breaks in labor productivity
• Multivariate estimates of the permanent components of GNP and stock prices
• Residual-based tests for cointegration in models with regime shifts
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Sources of macroeconomic fluctuations: A regime-switching DSGE approach
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing For and Dating Common Breaks in Multivariate Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

This page was built for publication: Do TFP and the relative price of investment share a common I(1) component?