Browsing NHH Brage by Author "Andersson, Fredrik N.G."

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A simple wavelet-based test for serial correlation in panel data models

Li, Yushu; Andersson, Fredrik N.G. (Discussion paper;11/14, Working paper, 2014-03)

Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. ...
Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model

Li, Yushu; Andersson, Fredrik N.G. (Discussion paper;38/14, Working paper, 2014-12)

Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central banks aim to meet the target over the long term but allow inflation to deviate from the target in the ...