Multiple optima and asymptotic approximations in the partial adjustment model

Monetary policy dynamics in the Euro area

“…More precisely, at each ( ; ) node, the parameters ( 0 ; ; y ) are re-estimated so as to minimize the SSR. The estimation results of each column of table 1 are also 4 See McManus et al (1994).…”

“…Unfortunately, this is not an easy task because in the process of doing so, a researcher might encounter the well-known problem of identi…cation and multiple optima in the partial adjustment model with serially correlated shocks (see, e.g. Griliches, 1967, Blinder, 1986, McManus et al 1994). …”

“…To do so, we embed both representations in a single equation so as to discriminate between the respective roles of serially correlated shocks and interest rate smoothing. However, single equation models of partial adjustment with serially correlated shocks are subject to well known identi…cation and multiple optima issues (Griliches, 1967, Blinder, 1986, McManus et al 1994. A robust …nding of this literature is that the identi…cation problem may arise more frequently with regressors that are of minor empirical importance.…”

Logique et tests d’hypothèses

“…Notons ici que de nombreux auteurs ont démontré de façon théorique et empirique (par voie de simulation) les problèmes de contrôle du niveau des tests et régions de confiance de type WaId; voir, par exemple, McManus et al (1994), Hall et al (1996), Staiger et Stock (1997), Wang et Zivot (1998), Zivot et al (1998), Startz et al (1999), Dufour et Jasiak (2001). D'autre part, il est tout à fait possible de développer des tests et régions de confiance valides en ayant recours à des techniques statistiques plus sophistiquées, telles que l'inversion de statis-tique de type quotient de vraisemblance (par exemple, Anderson et Rubin, 1949) ou de multiplicateur de Lagrange, ainsi qu'à des techniques de projection; voir Dufour (1997), Abdelkhalek et Dufour (1998), Wang et Zivot (1998), Zivot et al (1998), Dufour et Taamouti (2000), Dufour et Jasiak (2001).…”

Speed of adjustment and estimation of the partial adjustment model

“…Some examples of substantive areas in economics to which the model has been applied are given in McManus, Nankervis and Savin (1994), who conduct a theoretical and simulation study of the properties of the nonlinear least squares (NLS) estimator in a model with serially correlated disturbances. The model is also widely presented to students at different levels of sophistication in many textbooks, recent examples including Davidson and MacKinnon (1993), Maddala (1992), and Stewart (1991).…”