In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared ...
Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive- based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs. Simar and Wilson (2001) and Schubert and Simar (2011) propose restriction tests to support such specification ...
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly increased again in the late 1990.s. Estimates of the new Keynesian Phillips curve indicate that current inflation ...
Welfare state interventions shape our life courses in almost all of their multiply linked domains. In this introduction, we sketch how cross-nationally comparative retrospective data can be fruitfully employed to better understand these links and the long-run effects of the welfare state at the same time. We briefly introduce SHARE, the Survey of Health, Ageing and Retirement in Europe, and SHARELIFE, ...
Previous to the 2014 revision of the Renewable Energy Act (Erneuerbare Energien Gesetz, EEG) this study added to the discussion around cost reliefs for many industrial enterprises. These reliefs were criticized for increasing electricity costs for non-privileged consumers, without any assessment whether privileged firms were actually exposed to international competition. The study develops...
We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as the inflation rate. Inflation ...
