This chapter reviews inference about large autoregressive or moving average roots in
univariate time series, and structural change in multivariate time series regression. The …

Digital finance is playing an increasingly prominent role in economic development. This
paper examines the impact of digital finance on industrial structure upgrading based on …

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 develops a new procedure for statistical inference in cointegrating regressions.
We introduce the concept of canonical cointegrating regressions, which are the regressions …

W HY DO PEOPLE save? J. Maynard Keynes (1936) lists eight motives which we reproduce
here with one addi-tion: 1 1." To build up a reserve against unforeseen contingencies"(the …

This paper is an introduction to unit root econometrics as applied in macroeconomics. The
paper first discusses univariate time series analysis, emphasizing the following topics …

The notion of'long-run'is inextricably linked with the concept of equilibrium'in economics,
although in much time series econometrics long-run analysis is conducted without providing …

Increasing income brings about a decline in the relative importance of food consumption, a
wider spread of spending patterns, and a demand for higher‐quality goods. Using an index …

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 …

A FUNDAMENTAL QUESTION IN MACROECONOMICS iS, How should fiscal and monetary
policy be set over the business cycle? In three recent papers (Chari, Christiano, and Kehoe …