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Simple robust testing of regression hypotheses

Full text - MIT Libraries
NM Kiefer, TJ Vogelsang… - Econometrica, 2000 - Wiley Online Library
IN THIS PAPER WE CONSIDER the problem of hypothesis testing in models with errors that
have serial correlation or heteroskedasticity of unknown form. This situation is often
encountered in regression models applied to economic time series data. It is a classic Ž. ...
Cited by 110 - Related articles - BL Direct - All 10 versions

[PDF] Powerful trend function tests that are robust to strong serial correlation, with an application to the Prebisch-Singer hypothesis

[PDF] from amstat.org
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H Bunzel, TJ Vogelsang - Journal of Business and Economic Statistics, 2005 - ASA
We propose tests for hypotheses on the parameters of the deterministic trend function of a
univariate time series. The tests do not require knowledge of the form of serial correlation in
the data, and they are robust to strong serial correlation. The data can contain a unit root ...
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[PDF] Endogenous lifetime and economic growth revisited

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H Bunzel… - Economics Bulletin, 2005 - econ.iastate.edu
Abstract Chakraborty [Journal of Economic Theory, 2004] introduces endogenous mortality
in a two period overlapping generations model by postulating that the probability of surviving
from the first period to the second depends on taxfunded public health. His central result ...
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The non‐monotonic relationship between seigniorage and inequality

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J Bhattacharya, H Bunzel… - Canadian Journal of …, 2005 - Wiley Online Library
Abstract. We present an analysis of how political factors may come into play in the
equilibrium determination of inflation. We employ a standard overlapping generations model
with heterogenous young-age endowments, and a government that funds an exogenous ...
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Habit persistence, money, and overlapping generations

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H Bunzel - Journal of Economic Dynamics and Control, 2006 - Elsevier
This paper provides a comprehensive characterization of the stationary and non-stationary
monetary equilibria in a two-period pure exchange overlapping generations model with
multiplicative habit persistence preferences. Somewhat surprisingly, the upshot is that ...
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The Taylor rule and “opportunistic” monetary policy

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H Bunzel… - Journal of Money, Credit and Banking, 2010 - Wiley Online Library
1. We thank the associate editor of this journal, two anonymous referees, Peter Ireland, Andy
Levin, and participants of seminars at Auburn, Iowa State, Mississippi State, Texas A&M, and
West Virginia universities for their helpful suggestions. All remaining errors are our own.
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Is the Taylor rule missing? a statistical investigation

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H Bunzel… - 2005 - papers.ssrn.com
Abstract: We conduct a fairly thorough statistical analysis of the empirical foundations for the
existence of a Taylor rule. Inflation, the output gap and the federal funds rate appear to be
non-stationary variables that are not cointegrated. Although this lack of cointegration could ...
Cited by 6 - Related articles - All 6 versions

Can racially unbiased police perpetuate long-run discrimination?

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H Bunzel, P Marcoul - Journal of Economic Behavior & Organization, 2008 - Elsevier
We develop a stylized dynamic model of highway policing in which a non-racist police officer
exhibits a cognitive bias: relative overconfidence. The officer is given incentives to arrest
criminals but faces a per stop cost that increases when the racial mix of her stops differs ...
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Choosing to keep up with the Joneses and income inequality

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RC Barnett, J Bhattacharya… - Economic Theory, 2010 - Springer
Abstract We study a variant of the conventional keeping-up-with-the-Joneses setup, in which
heterogeneous-ability agents care both about consumption and leisure and receive an utility
premium if their consumption exceeds that of the Joneses'. Unlike the conventional setup ...
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Can racially unbiased police perpetuate long-run discrimination?

[PDF] from uvt.nl
H Bunzel, P Marcoul - 2003 - papers.ssrn.com
Abstract: We develop a stylized dynamic model of highway policing in which a non-racist
policeman is given incentives to arrest criminals, but faces a per stop cost of stop which
increases when the racial mix of the persons he stops differs from the racial mix of the ...
Cited by 4 - Related articles - All 21 versions

[PDF] Dynamics of the planning solution in the discrete-time textbook model of labor market search and matching

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J Bhattacharya… - Economics Bulletin, 2003 - accessecon.com
Abstract This paper takes a discrete− time adaptation of the continuous− time matching
economy described in Pissarides (1990, 2000), and computes the solution to the dynamic
planning problem. The solution is shown to be completely characterized by a first− order, ...
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Robust inference in models of cointegration

H Bunzel - 1998 - papers.ssrn.com
Abstract: This paper introduces a test statistic that is robust to serial correlation/
heteroskedasticity of unknown form in a single-equation cointegration environment that
incorporates linear polynomial trend functions. The standard approach used to deal with ...
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[PDF] On the Use of Racial Profiling as a Law Enforcement Tool

[PDF] from psu.edu
H Bunzel, P Marcoul - Staff General Research Papers, 2005 - Citeseer
Abstract. The “End Racial Profiling Act of 2001”(ERPA) states that “no law enforcement
agent or law enforcement agency shall engage in racial profiling” and mandates states to
“collect detailed data on stops, searches, seizures, and arrests.” We develop a stylized ...
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Resurrecting equilibria through cycles in an overlapping generations model of money

RC Barnett, J Bhattacharya… - Journal of Macroeconomics, 2010 - Elsevier
Momentary equilibria are defined as points that satisfy agents' optimality conditions and
market clearing at any date. However, some dynamic sequences commencing from such
points may not be considered valid equilibria because they asymptotically violate some ...
Cited by 1 - Related articles - Get it from MIT Libraries - All 5 versions

[PDF] Unsafe Sex, AIDS, and Development

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J Bhattacharya, H Bunzel… - Staff General Research …, 2007 - econ22.econ.iastate.edu
Abstract Much of Africa has been ravaged by the AIDS epidemic. There, heterosexual
contact is the primary mode of transmission for the HIV virus. Even when access to condoms
is good and their price low, a large fraction of young Africans continue to engage in ...
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Resurrecting equilibria through cycles

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R Barnett, J Bhattacharya… - University of Aarhus …, 2007 - papers.ssrn.com
Abstract: In an overlapping generations model, momentary equilibria are defined as points
that lie on the intergenerational offer curve, ie, they satisfy agents' optimality conditions and
market clearing at any date. However, some dynamic sequences commencing from such ...
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NOTES AND PROBLEMS FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS

Full text - MIT Libraries
H Bunzel - Econometric Theory, 2006 - Cambridge Univ Press
In regression models with heteroskedasticity and serial correlation of unknown form, the standard
approach to testing hypotheses on the regression parameters involves estimation of the correlation
structure using nonparametric heteroske- dasticity and autocorrelation consistent ~HAC! ...
Cited by 1 - Related articles - BL Direct - All 7 versions

[BOOK] Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand

[PDF] from iastate.edu
H Bunzel - 2003 - econ.iastate.edu
Abstract This paper provides a new approach to testing cointegration parameters in a single-
equation cointegration environment. The novelty is in improving over the well-known
heteroscedasticity and autocorrelation consistent (HAC) robust standard errors using fixed ...
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[PDF] Are the Joneses making you financially vulnerable?

[PDF] from villanova.edu
R Barnett, J Bhattacharya… - Staff General Research …, 2008 - homepage.villanova.edu
Abstract This paper studies a model economy populated with agents of differing incomes
that get a utility boost when their consumption keeps up with the Joneses'. The resulting
utility function is non-concave. In this setup, participation in a fair consumption lottery has ...
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[CITATION] Residual-based Co-integration Tests with Infinite-Variance Errors: Simulation Analysis and Empirical Application

HBBFFO Serttas
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[PDF] In: ationary Finance in a Simple Voting Model

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J Bhattacharya, H Bunzel… - 2001 - economics.missouri.edu
Abstract This paper is an attempt at answering the somewhat counterfactual question: if
monetary policy was to be decided in the arena of public voting (that is not by independent
central banks), then what kind of monetary policies (specifically, inflation rates) would get ...
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Choosing to keep up with the Joneses

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RC Barnett, J Bhattacharya… - Economics Working Papers, 2008 - papers.ssrn.com
Abstract: Does a rise in income inequality induce people to work harder to stay in the rat
race (" keep up with the Joneses") or to simply drop out? We investigate this issue in a
simple new framework in which heterogeneous ability agents get extra utility if their ...
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Dynamics of the Planning Solution in the Textbook Model of Labor Market Search and Matching

H Bunzel… - papers.ssrn.com
Abstract: This paper takes a discrete-time adaptation of the continuous-time matching
economy of Pissarides (1990, 2001) discussed in Ljungqvist and Sargent (2000) and
computes the solution to the dynamic planning problem. The solution is shown to be ...
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Deviant generations, Ricardian equivalence, and growth cycles

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RC Barnett, J Bhattacharya… - Economic Theory, 2008 - Springer
Abstract Two equilibrium possibilities are known to obtain in a standard overlapping-
generations model with dynastic preferences: either the altruistic bequest motive is operative
for every generation (in which case, Ricardian equivalence obtains) or it is not, for any ...
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Minimum Consumption Requirements and Cycles in an Overlapping Generations Model of Money

RC Barnett, J Bhattacharya… - Staff General Research …, 2007 - ideas.repec.org
This paper studies a pure-exchange monetary overlapping generations economy in which
young and old agents face exogenous minimum consumption requirements, and money is
the only asset. The presence of the minimum consumption requirement on the old is ...
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[BOOK] Chaotic Planning Solutions in the Textbook Model of Labor Market Search and Matching

[PDF] from uvt.nl
J Bhattacharya, H Bunzel… - 2003 - arno.uvt.nl
Abstract This paper demonstrates that cyclical and chaotic planning solutions are possible in
the standard “textbook model” of search and matching in labor markets. More specifically, it
takes a discretetime adaptation of the continuous-time matching economy described in ...
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[PDF] dynamics of the Planning Solution in the Textbook Model of Labor Market Search and Matching

[PDF] from 129.186.33.9
J Bhattacharya… - 2003 - 129.186.33.9
Abstract This paper takes a discrete-time adaptation of the continuous-time matching
economy described in Pissarides (1990, 2000), and computes the solution to the dynamic
planning problem. The solution is shown to be completely characterized by a first-order, ...
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[CITATION] Separate Estimation and Inference in Econometric Models

H Bunzel - 1999 - Cornell University, August
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