The Bi-parameter Smooth Transition Autoregressive model

The present paper introduces the Bi-parameter Smooth Transition Autoregressive (BSTAR) model that generalizes the LSTR2 model, see Terasvirta (1998). In contrast to the LSTR2 model, which features the symmetric transition function, the BSTAR model is characterized by the asymmetric transition function which implies different local dynamics in the neighborhood of the respective location parameters. An empirical example using the time series of the annual growth rates of the Italian industrial production index is provided.

Multicointegration in US Consumption Data

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative past discrepancies between the flows of income and expenditure, on the other hand, can be thought of as a stock-flow model, in which multicointegration is likely to occur. We apply recently developed I(2) techniques for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data.Cointegration, multicointegration, I(2) processes, consumption

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence from the Monte Carlo simulations, we show that for the DGP in Cook and Manning (2002), the unusual behaviour of the Dickey-Fuller test disappears as the number of the discarded initial observations becomes sufficiently large.

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : Comment

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to be discarded. Based on the evidence from the Monte Carlo simulations, we show that for the DGP in Cook and Manning (2002), the unusual behaviour of the Dickey-Fuller test disappears as the number of the discarded initial observations becomes sufficiently large

Estimating and forecasting European migration : methods, problems and results

"The specification of macro migration models and, hence, forecasts of migration potentials differ largely in the literature. Two main differences characterise macro migration models: first, whether migration flows or stocks are used as the dependent variable, and, second, whether the heterogeneity in the migration behaviour across countries is considered. This paper addresses both issues empirically using German migration data from 18 European source countries in the period 1967-2001. It finds first that panel unit-root and cointegration tests reject the hypothesis that the variables of the flow model form a cointegrated set, while the hypothesis of cointegration is not rejected for the stock model. The second finding is that standard fixed effects estimators dominate the forecasting performance of both pooled OLS and heterogeneous estimators. Applying the preferred fixed effects estimator, the migration potential from the Central and Eastern European accession countries is estimated at 2.3-2.5 million persons for Germany, which implies a migration potential of 3.8-3.9 million persons for the EU-15. Finally, our estimates indicate that the migration potential in the EU-15 is already exhausted and that the migration potential from Turkey is relatively small." (Author's abstract, IAB-Doku) ((en))Einwanderung, internationale Wanderung - Prognose, Prognoseverfahren, Prognosemodell, Prognosegenauigkeit, Migrationsforschung, Wanderungspotenzial, Schätzung - Methode, Arbeitskräftemobilität, regionale Mobilität, Europäische Union, Bundesrepublik Deutschland

The Role of Remittances in Migration Decision: Evidence from Turkish Migration

In this study we analyse the impact of workers' remittances on the decision to migrate by means of cointegration analysis. In traditional migration theories, especially in human capital models, the decision to migrate is based upon comparison of expected future incomes in the sending and the receiving countries adjusted for the cost of migration. By contrast, the new economics of labour migration suggests that the migration decision is made jointly by the migrant and his family. One important element of this theory is the role of remittances that is absent in traditional migration theories. In this paper we test traditional migration theories against the new economics of labour migration. The study covers the Turkish migration to Germany over the period 1964-2004. A single cointegrating relation between the migration inflows and the relative income ratio between Germany and Turkey, the unemployment rates in Germany and Turkey, the trade intensity variable, and workers' remittances (relative to Turkish GDP) is found. We find workers' remittances to be significant in explaining migration both in the short- as well as in the long-run.Migration, trade, remittances, the new economic of migration, cointegration

Labor Supply of Married Females in Estonia

In this paper we estimate the labor supply function for married females in Estonia. Particularly, we are interested in determining the elasticities of the weekly supply of hours with respect to hourly wage rates and with respect to nonlabor income. We adopt the two-step estimation procedure. In the first step, we obtain parameter estimates of the self-selection corrected wage equation. At this stage, we document the absence of the sample selection bias in our data as well as the significant negative effect of nonproficiency in the Estonian language on the hourly wage rate. In the second step, the labor supply function is estimated using the Tobit model, where the predictions from the wage equation substitute for the market wage rates for all individuals. We find that the wage elasticity of hours supplied per week is positive (0.53), while at the same time the nonlabor income effect is insignificant.Female Labor Supply, Transition Economics, Estonian Labor Market

Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)

This study examines the export-led growth hypothesis using annual time series data from Chile in a production function framework. It addresses the problem of specification bias under which previous studies have suffered and focuses on the impact of manufactured and mining exports on productivity growth. In order to investigate if and how manufactured and mining exports affect economic growth via increases in productivity, the study uses Johansen cointegration technique. The estimation results can be interpreted as evidence of productivity-enhancing effects of manufactured exports and of productivity-limiting effects of mining exports.Export-led growth, Chile, cointegration

The Missing Globalization Puzzle: Another Explanation

This study suggests another explanation of the "missing globalization puzzle" typically observed in the empirical gravity models. In contrast to the previous research that focused on aggregated trade flows, we employ the trade flows in manufacturing products broken down by 25 three-digit ISIC Rev.2 categories. We estimate the distance coefficient using the log-linear specification of the standard as well as the generalized gravity equations. Our data set comprises trade flows for 22 OECD countries that span the time period from 1970 till 2000. We observe a substantial decline in the value of the distance elasticity in most manufacturing industries.Gravity model, missing globalization puzzle, distance coefficient

On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It

This paper suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are based on the largest available dataset.Diffusion index, forecasting, optimal subset of data