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~institution:"Aarhus Universitet / Afdeling for Nationaløkonomi"
~institution:"National Bureau of Economic Research"
~subject:"Theorie"
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Search: subject_exact:"Cointegration"
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Aarhus Universitet / Afdeling for Nationaløkonomi
National Bureau of Economic Research
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ECONIS (ZBW)
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Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
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2
Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption
Lettau, Martin
-
2003
Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...
Persistent link: https://www.econbiz.de/10012468849
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3
Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C.
-
2003
Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...
Persistent link: https://www.econbiz.de/10012469103
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4
Long-run forecasting in multicointegrated systems
Siliverstovs, Boriss
(
contributor
);
Engsted, Tom
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001703725
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5
Spectral analysis of fractionally cointegrated systems
Ørregaard Nielsen, Morten
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001695143
Saved in:
6
Optimal residual based tests for fractional cointegration and exchange rate dynamics
Ørregaard Nielsen, Morten
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001664223
Saved in:
7
Local whittle analysis of stationary fractional cointegration
Ørregaard Nielsen, Morten
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001664225
Saved in:
8
Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
Mark, Nelson C.
-
2002
We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-specific effects. The...
Persistent link: https://www.econbiz.de/10012469343
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9
Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong
-
1997
Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...
Persistent link: https://www.econbiz.de/10012472881
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10
The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles
-
1996
We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as...
Persistent link: https://www.econbiz.de/10012473057
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