Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Title
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19980214BuchTax Clientele Effects in the German Bond Market This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are overvalued from ...

20050921BuchTax Evasion and Risky Investments in an Intertemporal Context An Experimental StudyIn this experimental study of tax evasion and its determinants participants earn their income in a complex stochastic intertemporal environment including the possibility to invest into a risky asset. The earned income has ...

20000120BuchTax Liability Side Equivalence in ExperimentalPostedOffer Markets In theory, the incidence of a tax should be independent of which side of the market it is levied on. This principle of liability side equivalence underlies virtually all theories of tax incidence. Policy discussions, ...

20030923BuchTaylor Rules and Macroeconomic Instability or How the Central Bank Can Preempt Sunspot ExpectationsThis paper derives new results on the effects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can ...

19980114BuchTeaching Statistics with XploRe

20060317BuchTeaching Wavelets in XploRe Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends ...

19980310BuchTemporal Aggregation and Causality in Multiple Time Series Models In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our ...

20010620BuchTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

19990913BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time

19981101BuchTesting for Linear Autoregressive Dynamics under Heteroskedasticity One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk ...

20011001BuchTesting for short and longrun causality: The case of the yield spread and economic growth

19980610BuchTesting for the Cointegrating Rank of a VAR Process with an Intercept Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative ...

20010905BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

20010723BuchTesting for the Cointegrating Rank of a VAR Process with Structural Shifts

19990226BuchTesting for Unit Roots in Time Series with Level Shifts Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple onetime shift which can be captured by a dummy variable ...

20020901BuchTesting for Vector Autoregressive Dynamics under Heteroskedasticity

20050930BuchTesting of Fractional Cointegration in Macroeconomic Time Series We propose in this article a twostep testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and ...

20050916BuchTesting of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser’s (1982) series. The tests can be expressed in a way allowing for structural ...

20050929BuchTesting Stochastic Cycles in Macroeconomic Time Series A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw ...

20020416BuchTesting the Diffusion Coefficient