Business cycle transmission from the euro area to CEECs

A high degree of cyclical synchronization between the new EU member states (NMS) from Central and Eastern Europe and the euro area is generally seen as a prerequisite for successful EMU enlargement. We establish stylized facts on economic linkages between NMS and the euro area using dynamic correlation and cohesion measures. We then identify the main structural common euro-area shocks and investigate their transmission to NMS by means of a large-scale factor model. We compare it to the propagation to current EMU members.Dynamic factor models, international business cycles, EMU enlargement, sign restrictions

How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor model

Dynamic factor models, international business cycles, EMU enlargement, counterfactual experiment

A multivariate measure of persistence

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Policy analysis in VAR-systems

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Neuere Entwicklung auf dem Gebiet oekonometrischer Strukturmodelle: strukturelle Vektorautoregression

Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 1190 (80) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

Robust testing of functional statistics: the bootstrap approach

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Estimating binary probit models under first order serial correlation

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel C 158965 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

A two-step test procedure to decide between random- and fixed-effects specifications

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 163 (169) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Instrumental variable and variable addition based inference in predictive regressions

Valid inference in predictive regressions depends in a crucial manner on the degree of persistence of the predictor variables. The paper studies test procedures that are robust in the sense that their asymptotic null distributions are invariant to the persistence of the predictor, that is, the limiting distribution is the same irrespective of whether the regressors are stationary or (nearly) integrated. Existing procedures are often conservative (e.g. tests based on Bonferroni bounds), are based on highly restrictive assumptions (such as homoskedasticity or assuming an AR(1) process for the regressor) or fail to have power against alternatives in a 1/T neighborhood of the null hypothesis. We first propose a refinement of the variable addition method with improved asymptotic power approaching the optimal rate. Second, inference based on instrumental variables may further improve the (local) power of the test and even achieve local power under the optimal 1/T rate. We give high-level conditions under which the suggested variable addition and instrumental variable procedures are valid no matter whether the predictor is stationary, near-integrated or integrated, or exhibits time-varying volatility. All test statistics possess a standard limiting distribution. Monte Carlo experiments suggest that tests based on simple combinations of instruments perform most promising relative to existing tests. An application to quarterly US stock returns illustrates the need for robust inference. (C) 2015 Elsevier B.V. All rights reserved