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作者：STEINDL, FG
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作者：STOCK, JH
摘要：This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the appendix. When applied to the Nelson-Plosser (1982) data set, the main conclusion is that the confidence intervals typically are wide. The conventional emphasis on testing for whether the largest root equals one fails to convey the substantial sampling variability associated with ...
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作者：CUKIERMAN, A; LIVIATAN, N
作者单位：Hebrew University of Jerusalem
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作者：GREENWOOD, J; HUFFMAN, GW
作者单位：Western University (University of Western Ontario); University of California System; University of California Riverside; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
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作者：RUNKLE, DE
作者单位：University of Minnesota System; University of Minnesota Twin Cities
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作者：DELGADO, FA
摘要：This paper develops a model to explain price stickiness to nominal shocks. It is the first model to allow two-sided general shocks. In an international environment, a firm that sells in its domestic market and abroad faces a stochastic exchange rate and menu costs. We obtain significant stickiness with very small menu costs. With exchange rate variance of 10% p.a., the exchange rate can fluctuate 25% without the firm having to adjust prices. An optimal control problem is solved whereby the fir...
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作者：BOHN, H
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作者：KANDEL, S; STAMBAUGH, RF
作者单位：University of Pennsylvania; National Bureau of Economic Research
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作者：DEJONG, DN; WHITEMAN, CH
作者单位：University of Iowa
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作者：NEUSSER, K
