The relation between unemployment and interest rate : application of an ARX approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Shiller, Robert J. & Perron, Pierre, 1985.
"Testing the random walk hypothesis : Power versus frequency of observation,"
Economics Letters, Elsevier, vol. 18(4), pages 381-386.
- Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
- repec:pri:indrel:dsp01dr26xx382 is not listed on IDEAS
- repec:bla:econom:v:53:y:1986:i:210(s):p:s219-44 is not listed on IDEAS
- Bierens, Herman J., 1987.
"Armax model specification testing, with an application to unemployment in the Netherlands,"
Journal of Econometrics, Elsevier, vol. 35(1), pages 161-190, May.
- Bierens, H.J., 1986. "Armax model specification testing, with an application to unemployment in the Netherlands," Serie Research Memoranda 0026, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
- Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-159, April.
- G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
- Roger E. A. Farmer, 1990.
"AIL Theory and the Ailing Phillips Curve: A Contract-Based Approach to Aggregate Supply,"
NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 207-230,
National Bureau of Economic Research, Inc.
- Roger E. A. Farmer, 1989. "AIL theory and the ailing Phillips curve: a contract based approach to aggregate supply," Proceedings, Federal Reserve Bank of San Francisco.
- Roger E.A. Farmer, 1989. "A.I.L. Theory and the Ailing PHillips Curve: A Contract Based Approach to Aggregate Supply," UCLA Economics Working Papers 549, UCLA Department of Economics.
- Roger E.A. Farmer, 1989. "AIL Theory and the Ailing Phillips Curve: A Contract Based Approach to Aggregate Supply," NBER Working Papers 3115, National Bureau of Economic Research, Inc.
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bierens, H.J., 1988. "Armax models : estimation and testing," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Hendry, David F. & Ericsson, Neil R., 1991.
"Modeling the demand for narrow money in the United Kingdom and the United States,"
European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
- Neil R. Ericsson & David F. Hendry, 1990. "Modeling the demand for narrow money in the United Kingdom and the United States," International Finance Discussion Papers 383, Board of Governors of the Federal Reserve System (U.S.).
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Orley Ashenfelter & David Card, 1982.
"Time Series Representations of Economic Variables and Alternative Models of the Labour Market,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(5), pages 761-782.
- Orley Ashenfelter & David Card, 1982. "Time Series Representation of Economic Variables and Alternative Models of the Labor Market," Working Papers 528, Princeton University, Department of Economics, Industrial Relations Section..
- Hendry, David F. & Richard, Jean-Francois, 1982.
"On the formulation of empirical models in dynamic econometrics,"
Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
- HENRY, David F. & RICHARD, Jean-François, 1982. "On the formulation of empirical models in dynamic econometrics," LIDAM Reprints CORE 502, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sargent, Thomas J & Wallace, Neil, 1975. ""Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 241-254, April.
- Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, October.
- Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
- Bierens, H.J., 1989. "Testing stationarity against the unit root hypothesis," Serie Research Memoranda 0081, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Grayham E. Mizon & David F. Hendry, 1980. "An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 21-45.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Roger E. A. Farmer, 1985. "Implicit Contracts with Asymmetric Information and Bankruptcy: The Effect of Interest Rates on Layoffs," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 52(3), pages 427-442.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
- Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
- Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, September.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
- Ericsson, Neil R., 1992.
"Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration,"
Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
- Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.).
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014.
"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521520911, October.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, October.
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220,
National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Andreas A. Andrikopoulos & Dimitrios C. Gkountanis, 2011. "Issues and Models in Applied Econometrics: A partial survey," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 9(2), pages 107-165.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, October.
- Neil Karunaratne, 1997. "High-Tech Innovation, Growth and Trade Dynamics in Australia," Open Economies Review, Springer, vol. 8(2), pages 151-170, April.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
- Kalaitzi, Athanasia S. & Chamberlain, Trevor W., 2020. "Merchandise exports and economic growth: multivariate time series analysis for the United Arab Emirates," LSE Research Online Documents on Economics 103781, London School of Economics and Political Science, LSE Library.
- Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).
- M.T. Alguacil & V. Orts, "undated". "A multivariate cointegrated model testing for temporal causality between exports and outward FDI: The Spanish case," Studies on the Spanish Economy 50, FEDEA.
- M. T. Alguacil & V. Orts, 2003.
"Inward Foreign Direct Investment and Imports in Spain,"
International Economic Journal, Taylor & Francis Journals, vol. 17(3), pages 19-38.
- M. T. Alguacil & V. Orts, "undated". "Inward Foreign Direct Investment and Imports in Spain," Working Papers on International Economics and Finance 02-01, FEDEA.
- M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vua:wpaper:1991-57. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: R. Dam (email available below). General contact details of provider: https://edirc.repec.org/data/fewvunl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.