Publisher Summary This chapter presents an overview of the long-run determinants of
purchasing power parity (PPP). It reviews the huge time series literature testing simple PPP …

The paper documents a robust and interesting relationship between the real domestic price
of oil and real effective exchange rates for Germany, Japan and the United States. It also …

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for
parameter instability against several alternatives of interest in the context of cointegrated …

In estimating, the intertemporal elasticity of substitution, Hall finds that, when one takes
account of time aggregation, point estimates are small and not significantly different from …

The relationship between real interest rates, saving, and growth is a central issue in
development economics. Using macroeconomic data for a cross-section of countries, we …

We document large, longer term, joint regime shifts in asset valuations and the real federal
funds rate‐r* r^∗ spread. To interpret these findings, we estimate a novel macrofinance …

The purpose of this paper is to investigate the tests of Hansen (1992) to detect structural
breaks in cointegrated relations using Monte Carlo methods. The evaluation takes place …

Publisher Summary This chapter explains Hansen's (1982) generalized method of moments
(GMM) to applied researchers, and to give practical guidance as to how GMM estimation …

This paper constructs and estimates a model of consumer preferences in which the
intertemporal elasticity of substitution (IES) of consumption expenditure rises with the level of …

This paper investigates through Monte Carlo simulation the finite sample properties of
likelihood ratio tests for cointegrating ranks that were proposed by Johansen (1991 …