Government solvency: revisiting some EMU countries

Corsetti and Roubini (1991) reported that the government finances of Greece, Ireland, Italy and the Netherlands did not satisfy the intertemporal budget constraint (IBC). We re-examine this issue by utilizing a new empirical approach and extended data set. Structural shifts, an issue which Corsetti and Roubini were unable to address due to the lack of suitable econometric methods, are tackled. We show that: (i) government finances of all four countries satisfy the IBC and this finding is robust to different time horizons; (ii) multiple structural shifts, most of which correspond to important policy changes, did occur in the fiscal path of these countries; and (iii) the overall effect of structural shifts has been to strengthen the evidence supporting IBC. We also find a clear positive Maastricht effect on IBC

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

This paper considers the problem of testing against stochastic trend and seasonality in the presence of structural breaks and unit roots at frequencies other than those directly under test, which we term unattended breaks and unattended unit roots respectively. We show that under unattended breaks the true size of the Kwiatkowski et. al. (1992) [KPSS] test at frequency zero and the Canova and Hansen (1995) [CH] test at the seasonal frequencies fall well below the nominal level under the null with an associated, often very dramatic, loss of power under the alternative. We demonstrate that a simple modification of the statistics can recover the usual limiting distribution appropriate to the case where there are no breaks, provided unit roots do not exist at any of the unattended frequencies. Where unattended unit roots occur we show that the above statistics converge in probability to zero under the null. However, computing the KPSS and CH statistics after pre-filtering the data is simultaneously efficacious against both unattended breaks and unattended unit roots, in the sense that the statistics retain their usual pivotal limiting null distributions appropriate to the case where neither occurs. The case where breaks may potentially occur at all frequencies is also discussed. The practical relevance of the theoretical contribution of the paper is illustrated through a number of empirical examples.stationarity tests, structural breaks, pre-filtering, unattended unit roots

Government Solvency: Revisiting some EMU Countries

Corsetti and Roubini (1991) reported that the government finances of Greece, Ireland, Italy and the Netherlands (now all EMU countries) did not satisfy the intertemporal budget constraint (IBC). We re-examine this issue by utilizing a new empirical approach and extended data set. Structural shifts, an issue which Corsetti and Roubini were unable to address due to the lack of suitable econometric methods, are tackled. We find that: (i) multiple structural shifts, most of which correspond to important policy changes, did occur in the fiscal path of these countries; (ii) the effect of the majority of structural shifts has been to strengthen the evidence supporting IBC; and (iii) government finances of all four countries satisfy the IBC and this finding is robust to different time horizons. We also find a clear positive Maastricht effect on IBC for all countries.intertemporal budget constraints, strong and weak form sustainability, structural breaks

A Quarterly Post-World War II Real GDP Series for New Zealand

There are no official quarterly real GDP estimates for New Zealand for the period prior to 1977. We develop a seasonally adjusted series for 1947q2 to 2006q2, by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period. Annual real GDP series are disaggregated, using the information from two quarterly diffusion indexes, developed by Haywood and Campbell (1976). Three econometric models are used: the Chow and Lin (1971) model that disaggregates the level of GDP, and the Fernández (1981) and Litterman (1983) models that disaggregate changes in GDP. Statistical properties of the series are evaluated, and movements in the new series are benchmarked against qualitative research findings from New Zealand's post-WWII economic history. Our preferred quarterly series is based on results generated from the Chow-Lin model.Quarterly real GDP series; temporal disaggregation; business cycles; New Zealand

Clay mineralogy of tephras and associated paleosols and soils, and hydrothermal deposits, North Island [New Zealand]

Tour themes and itinerary The tour centres on the occurrence and genesis of clay minerals, especially allophane, halloysite, and ferrihydrite, associated with both Quaternary rhyolitic airfall tephra (volcanic ash) deposits and volcanogenic alluvium, and on mineralisation and thermal activity in hydrothermal fields. After a brief overview of the basaltic volcanoes of Auckland City, our route essentially traverses the Central Volcanic Region by way of a large loop with overnight stops at Rotorua (2 nights), Tokaanu, and Auckland (Fig. 0.1). We have around five stops planned for each day (including lunch), three of these being scientific stops except on Day 4 when we have only one scientific stop because of the need to travel greater distances. Our route takes us progressively towards the locus of the most recently active volcanic centres of the Central Volcanic Region, and so the surficial tephra deposits and buried paleosols become successively younger and generally less weathered: tephras at the Mangawara section (Day 1) span c. 1 Ma; at Tapapa (Day 2), c. 140 ka; at Te Ngae (Day 2), c. 20 ka; and at De Bretts, c. 10 ka, and Wairakei, c. 2 ka (Day 3). Interspersed with these tephra-paleosol sections are stops to examine an allophane-halloysite soil drainage (leaching) sequence on volcanogenic alluvium (Day 1), hydrothermal activity and mineral deposits at Whakarewarewa (Day 2) and Waiotapu (Day 3), and pure ferrihydrite seepage deposits in Hamilton (Day 4). Following introductory and detailed background review material, the tour guide has been arranged on a day-by-day basis and includes an outline of the route and stops, and several pages describing the stratigraphy, mineralogy, chemistry, and pedology of the deposits or features at each of the main stops. We will attempt to point out and describe geological and other features as appropriate during travel periods. Other activities Examples of New Zealand's distinctive fauna and flora, including kiwis and tuataras, will be seen at close quarters at Rainbow Springs (Day 2), where we will also enjoy an agricultural farm show. In Rotorua we will partake in a Maori hangi (steam-cooked feast) and concert including traditional dance forms (hakas) and songs (Day 2). In Tokaanu, hot pools will be available to relax in near the slopes of Mt Tongariro (Day 3). At Waitomo, we will visit the Waitomo Cave and in Hamilton spend a short time at the Waikato Museum of Art and History (Day 4). Finally, the tour will conclude with a farewell dinner in Auckland

Structural and forecasting softwood lumber models with a time series approach

The development of cointegration theories and the presence of nonstationarity in time series raised serious concerns about possible spurious estimations in forest products models. Based on the results of Hsiao (1997a, 1997b), all the virtues of two-stage least square (2SLS) hold if there are sufficient cointegration relations. Stationary null and nonstationary null unit root tests and monthly seasonal unit root tests were applied to the time series used in this dissertation. Cointegration tests with exogenous variables were performed to justify the 2SLS. A regional error correction model (ECM) with four regional lumber supply and demand equations and a U.S.-Canada supply and demand ECM were estimated. CUSUM tests did not find any structural changes. Both estimated models showed that the imported Canadian lumber and the U.S. lumber are substitutes. The estimated long-run and short-run own-price elasticities for demand and supply are inelastic for all the equations but the short-run supply equation for the West Coast. The long-run lumber supply equations have significant trends: annually -3% for the Inland West and 2% for the other regions. The popular maximum likelihood estimation for the restricted ECM cannot pass the test for the restrictions and is, therefore, not used for the regional structural lumber model. A series of univariate and multi-equation models were used as forecasting models. A combination of univariate model were shown to be the best forecasting models for lumber prices, and a combination of univariate and multi-equation models were shown to be the best forecasting models for lumber quantities. The selected combinations of models were shown to be the best with additional observations. It was also shown that lumber quantities could be forecasted better than lumber prices

U.S. Law of the Sea Cruise to Map and Sample the US Arctic Ocean Margin

U.S. Law of the Sea cruise to map and sample the US Arctic Ocean margin CRUISE HEALY 1202 August 25 to September 27, 2012 Barrow, AK to Dutch Harbor, A

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one