Instrumental variables and wavelet decompositions

Economic Modelling - Tập 27 - Trang 1498-1513 - 2010
James B. Ramsey1, Marco Gallegati2, Mauro Gallegati2, Willi Semmler3,4
1Department of Economics, 19 West 4th Street, New York University, New York, NY 10003, USA
2Department of Economics, Faculty of Economics “G. Fuá”, Università Politecnica delle Marche, Piazzale Martelli 8, 60121 Ancona, Italy
3Department of Economics Graduate Faculty, 65 Fifth Avenue, New School University, New York, NY 10003, USA
4CEM University of Bielefeld, Germany

Tài liệu tham khảo

Bruce, 1996 Clarida, 1999, The science of monetary policy: a new Keynesian perspective, Journal of Economic Literature, vol. XXXVII, 1661, 10.1257/jel.37.4.1661 Cleveland, 1979, Robust locally-weighted regression and scatterplot smoothing, Journal of the American Statistical Association, 74, 829, 10.2307/2286407 Daubechies, 1992 Donoho, 1995, Adapting to unknown smoothness via wavelet shrinkage, Journal of the American Statistical Association, 90, 1200, 10.2307/2291512 Donoho, 1995, Wavelet shrinkage: asymptopia?, Journal of the Royal Statistical Society, B, 57, 301 Gali, 1999, Inflation dynamics: a structural econometric analysis, Journal of Monetary Economics, 44, 195, 10.1016/S0304-3932(99)00023-9 Gencay, 2002 Granger, 1993 Ghosh, 1996, A new graphical tool to detect non-normality, Journal of the Royal Statistical Society, B, 58, 691 Hahn, 2003, Weak instruments: diagnosis and cures in empirical econometrics, Recent Advances in Econometric Methodology, 93, 118 Mankiw, 2001, The inexorauble and mysterious tradeoff between inflation and unemployment, The Economic Journal, 111, C45, 10.1111/1468-0297.00619 Percival, 2000 Ramsey, 1995, An analysis of U. S. stock price behavior using wavelets, Fractals, 3, No. 2, 377, 10.1142/S0218348X95000291 Ramsey, 1996, The application of waveform dictionaries to stock market index data, 189 Ramsey, J.B. (1999): The contribution of wavelets to the analysis of economic and financial data, Philosophical Transactions of the Royal Society London, A, 357, 2593–2606; reprinted in Wavelets, edt. Silverman, B.W. and Vassilicos, J.C., Oxford University Press, Oxford, 1999, Chapter 12, 221–236. Ramsey, 1999, Regression over time scale decompositions: a sampling analysis of distributional properties, Economic Systems Research, 11, 163, 10.1080/09535319900000012 Ramsay, 2002, Functional data analysis of the dynamics of the monthly index of nondurable goods production, Journal of Econometrics, 107, 327, 10.1016/S0304-4076(01)00127-0 Ramsay, 2005 Semmler, 2005 Silverman, 1998, Wavelets and statistics: some recent developments, CompStat: Proc., Computational Statistics, 15, 10.1007/978-3-662-01131-7_2 Strang, 1996 Stock, 2002, A survey of weak instruments and weak identification in generalized method of moments, Journal of Business and Economic Statistics, 20, 518, 10.1198/073500102288618658 Wooldridge, 2006