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  1. A time-varying fiscal reaction function for Brazil
    Author: Campos, Eduardo Lima; Cysne, Rubens Penha
    Published: dezembro de 2017
    Publisher:  Escola de Pós-Graduação em Economia da Fundação Getulio Vargas, Rio de Janeiro

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 351 (795)
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10438/20153
    Edition: Preliminary version
    Series: Ensaios econômicos ; no 795
    Subjects: public debt; sustainability; fiscal reaction function; time-varying models; Kalman filter; penalized spline smoothing; time-varying cointegration
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Robust bootstrap inference for linear time-varying coefficient models
    some Monte Carlo evidence
    Author: Lin, Yicong; Song, Mingxuan
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios,... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
    Inter-library loan:
    No inter-library loan

     

    We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios, encompassing serially correlated, heteroscedastic, endogenous, nonlinear, and nonstationary error processes. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework. We find that the proposed moving block bootstrap and sieve wild bootstrap methods show superior, robust small sample performance, in terms of empirical coverage and length, compared to the sieve bootstrap introduced by Friedrich and Lin (2022) for stationary models. We then revisit two empirical studies: herding effects in the Chinese new energy market and consumption behaviors in the U.S. Our findings strongly support the presence of herding behaviors before 2016, aligning with earlier studies. However, we diverge from previous research by finding no substantial herding evidence between around 2018 and 2021. In the second example, we find a time-varying cointegrating relationship between consumption and income in the U.S.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/282862
    Series: Array ; TI 2023, 049
    Subjects: time-varying models; bootstrap inference; simultaneous confidence bands; energy market; nonlinear cointegration
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen