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800
Is public expenditure productive?
 JOURNAL OF MONETARY ECONOMICS
, 1989
"... This paper considers the relationship between aggregate productivity and stock and flow governmentspending variables. The empirical results indicate that (i) the nonmilitary public capital stock is dramatically more important in determining productivity than is either the flow of nonmilitary or mil ..."
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Cited by 937 (2 self)
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This paper considers the relationship between aggregate productivity and stock and flow governmentspending variables. The empirical results indicate that (i) the nonmilitary public capital stock is dramatically more important in determining productivity than is either the flow of nonmilitary or military spending, (ii) military capital bears little relation to productivity, and (iii) a 'core' infrastructure of streets, highways, airports, mass transit, sewers, water systems, etc. has most explanatory power for productivity. The paper also suggests an important role for the net public capital stock in the 'productivity slowdown ' of the last fifteen years.
Time series regression with a unit root
 Econometrica
, 1987
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 421 (36 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Inference in Linear Time Series Models with Some Unit Roots,”
 Econometrica
, 1990
"... This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. In the genera ..."
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Cited by 390 (14 self)
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This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. In the general formulation, the variable might be integrated or cointegrated of arbitrary orders, and might have drifts as well. We show that parameters that can be written as coefficients on mean zero, nonintegrated regressors have jointly normal asymptotic distributions, converging at the rate T'/2. In general, the other coefficients (including the coefficients on polynomials in time) will have nonnormal asymptotic distributions. The results provide a formal characterization of which t or F testssuch as Granger causality testswill be asymptotically valid, and which will have nonstandard limiting distributions.
Linear Regression Limit Theory for Nonstationary Panel Data
 ECONOMETRICA
, 1999
"... This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section Ž n. and time series Ž T. observations. The limit theory allows for both sequential limits, wherein T� � followed by n��, and joint limits where T, n�� simultaneously; and the relationship ..."
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Cited by 312 (22 self)
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This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section Ž n. and time series Ž T. observations. The limit theory allows for both sequential limits, wherein T� � followed by n��, and joint limits where T, n�� simultaneously; and the relationship between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous cointegration, and nearhomogeneous cointegration. The paper explores the existence of longrun average relations between integrated panel vectors when there is no individual time series cointegration and when there is heterogeneous cointegration. These relations are parameterized in terms of the matrix regression coefficient of the longrun average covariance matrix. In the case of homogeneous and near homogeneous cointegrating panels, a panel fully modified regression estimator is developed and studied. The limit theory enables us to test hypotheses about the long run average parameters both within and between subgroups of the full population.
2003), “Measuring the Natural Rate of Interest
 Review of Economics and Statistics
"... A key variable for the conduct of monetary policy is the natural rate of interest { the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In thi ..."
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Cited by 154 (21 self)
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A key variable for the conduct of monetary policy is the natural rate of interest { the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In this paper we apply the Kalman lter to jointly estimate the natural rate of interest, potential output, and its trend growth rate, and examine the empirical relationship between these estimated unobserved series. We nd substantial variation in the natural rate of interest over the past four decades in the United States. Our natural rate estimates vary about oneforone with changes in the trend growth rate. We show that policymakers ’ mismeasurement of the natural rate of interest can cause a signicant deterioration in macroeconomic stabilization.
The effect of fixed exchange rates on monetary policy
 QUARTERLY JOURNAL OF ECONOMICS
, 2003
"... To investigate how a fixed exchange rate affects monetary policy, this paper classifies countries as pegged or nonpegged and examines whether a pegged country must follow the interest rate changes in the base country. Despite recent research which hints that all countries, not just pegged countries, ..."
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Cited by 136 (12 self)
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To investigate how a fixed exchange rate affects monetary policy, this paper classifies countries as pegged or nonpegged and examines whether a pegged country must follow the interest rate changes in the base country. Despite recent research which hints that all countries, not just pegged countries, lack monetary freedom, the evidence shows that pegs follow base country interest rates more than nonpegs. This study uses actual behavior, not declared status, for regime classification; expands the sample including base currencies other than the dollar; examines the impact of capital controls, as well as other control variables; considers the time series properties of the data carefully; and uses cointegration and other levelsrelationship analysis to provide additional insights.
The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility
, 2002
"... Recently, the political economy of macroeconomic policy choice has increasingly been guided by the simple prescriptions of the classic trilemma. For example, policymakers often speak of the hollowing out of exchange rate regimes in a world of unstoppable capital mobility; and policy autonomy and a f ..."
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Cited by 121 (11 self)
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Recently, the political economy of macroeconomic policy choice has increasingly been guided by the simple prescriptions of the classic trilemma. For example, policymakers often speak of the hollowing out of exchange rate regimes in a world of unstoppable capital mobility; and policy autonomy and a fixed nominal anchor present an unpleasant dichotomy for emerging markets beset by the fear of floating. Yet the trilemma is not an uncontroversial maxim, and its empirical foundations deserve greater attention. Some authors (e.g., Calvo and Reinhart 2001, 2002) have argued that under the modern float there could be limited policy autonomy given the rapid international transmission of interest rate shocks; others (e.g., Bordo and Flandreau 2003) that even under the classical gold standard there actually was considerable policy autonomy given the gold point spread and the use of gold devices and other tricks. Such arguments turn the trilemma on its head. Resolving this debate is ultimately an empirical matter, where the broadest span of data should be scrutinized. Using new techniques to study the coherence of international interest
Testing Market Integration
 American Journal of Agricultural Economics
, 1986
"... A model of spatial price differentials for a tradable good is proposed which avoids the inferential dangers of received methods using static price correlations. The proposed method also extracts more information on the causes of price differentials from the same data. The method is illustrated using ..."
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Cited by 112 (0 self)
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A model of spatial price differentials for a tradable good is proposed which avoids the inferential dangers of received methods using static price correlations. The proposed method also extracts more information on the causes of price differentials from the same data. The method is illustrated using monthly rice price data for postindependence Bangladesh, including the very substantial regional price shocks during the 1974famine. Impediments to market integration are indicated. Key words: Bangladesh, famine, market integration, modeling spatial price differentials. Though much maligned, static price correlations remain the most common measure of spatial market integration in agriculture. I By this method, bivariate correlation or regression coefficients are estimated between the time series of spot prices for an otherwise identical good or bundle of goods at different market locations.? There are a number of inferential dangers in bivariate modeling of this sort. The following example expands on an important point made elsewhere in the literature on market performance in agriculture (Blyn, Harriss). Suppose that trade is infinitely costly between two market locations but that the time series of prices
Variable Trends in Economic Time Series,"
 Journal of Economic Perspectives
, 1988
"... In this article we discuss the implications of changing trends in macroeconomic data from two perspectives. The first perspective is that of a macroeconomist reassessing the conventional dichotomy between growth and stabilization policies. As an empirical matter, does this dichotomy make sense for ..."
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Cited by 110 (2 self)
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In this article we discuss the implications of changing trends in macroeconomic data from two perspectives. The first perspective is that of a macroeconomist reassessing the conventional dichotomy between growth and stabilization policies. As an empirical matter, does this dichotomy make sense for the postwar United States? What is the relative "importance" of changes in the trend and cyclical swings in explaining the quarterly movements in economic aggregates? We next adopt the perspective of an econometrician interpreting empirical evidence based on data that contain variable trends. The presence of variable trends in time series data can lead one to draw mistaken inferences using conventional econometric techniques. How can these techniquesor our interpretation of thembe modified to avoid these mistakes?