ORCID Profile
0000-0002-6091-378X
Current Organisation
University Of Strathclyde
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Publisher: Elsevier BV
Date: 08-2014
Publisher: Elsevier
Date: 2008
Publisher: Elsevier BV
Date: 04-2009
Publisher: Wiley
Date: 28-03-2011
DOI: 10.1002/JAE.1238
Publisher: Elsevier BV
Date: 12-2012
Publisher: Cambridge University Press (CUP)
Date: 2021
DOI: 10.1017/NIE.2021.8
Abstract: Expenditure-side and income-side gross domestic product (GDP) are measured at the quarterly frequency and contain measurement error. Econometric methods exist for producing reconciled estimates of underlying true GDP from these noisy estimates. Recently, the authors of this paper developed a mixed-frequency reconciliation model which produces monthly estimates of true GDP. In the present paper, we investigate whether this model continues to work well in the face of the extreme observations that occurred during the pandemic year and consider several extensions of it. These include stochastic volatility and error distributions that are fat-tailed or explicitly allow for outliers.
Publisher: Wiley
Date: 03-2008
DOI: 10.1111/J.1538-4616.2008.00116.X
Abstract: This paper discusses the consumption–wealth relationship. We use data on consumption, assets, and labor income and a vector error correction framework. This framework defines a set of models that differ in the number of co‐integrating vectors, the form of deterministic components and lag length. Further models can be defined through parametric restrictions and, in particular, interest centers on a weak exogeneity restriction that says that the co‐integrating residuals do not affect consumption and income directly. Key results in previous work relate to the roles of permanent and transitory shocks in driving wealth and how consumption responds to these shocks. We investigate the robustness of these results to model uncertainty and argue for the use of Bayesian model averaging. We find that there is a large degree of model uncertainty. Whether this uncertainty has important empirical implications depends on the researcher's attitude toward the theory used to motivate a co‐integrating relationship between consumption, assets and income. If we work with models consistent with this theory and impose the weak exogeneity restriction, we find precisely estimated results that show that permanent shocks have only a small role in driving assets and that the predominant transitory shocks have little effect on consumption. These findings are consistent with the previous literature. However, if we work with a broader set of models and let the data speak, we find that the exact magnitude of the role of permanent shocks is hard to estimate precisely. Thus, although some support exists for the view that their role is small, we cannot rule out the possibility that they have a substantive role to play.
Publisher: Elsevier BV
Date: 06-2016
Publisher: Elsevier BV
Date: 12-2011
Publisher: Elsevier BV
Date: 04-2010
Publisher: Informa UK Limited
Date: 2013
Publisher: Informa UK Limited
Date: 21-03-2022
Publisher: Informa UK Limited
Date: 24-11-2009
Publisher: Informa UK Limited
Date: 07-2010
Location: United Kingdom of Great Britain and Northern Ireland
No related grants have been discovered for Gary Koop.