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~institution:"Leibniz-Institut für Agrarentwicklung in Transformationsökonomien"
~institution:"National Bureau of Economic Research"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
National Bureau of Economic Research
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The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects
Heigermoser, Maximilian
-
Leibniz-Institut für Agrarentwicklung in …
-
2023
Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...
Persistent link: https://www.econbiz.de/10013534341
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2
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
National Bureau of Economic Research
-
2021
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all - or a subset - of the variables may be fractionally integrated and the predictive...
Persistent link: https://www.econbiz.de/10012496124
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3
Low-Frequency Econometrics
Müller, Ulrich K.
-
2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10012457105
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4
Continuous-Time Linear Models
Cochrane, John H.
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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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5
Low-Frequency Robust Cointegration Testing
Müller, Ulrich
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2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10012463358
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6
Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
Cheung, Yin-Wong
-
1999
We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...
Persistent link: https://www.econbiz.de/10012471881
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7
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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8
Estimating Sectoral Cycles Using Cointegration and Common Features
Engle, Robert F.
-
1993
This paper investigates the degree of short run and long run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral output from first principles. Cointegration and common...
Persistent link: https://www.econbiz.de/10012474413
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9
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.
-
1990
This paper tests for cointegration between regional output of an industry and national output of the same industry. An equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting using the shift and share framework often acts as...
Persistent link: https://www.econbiz.de/10012475744
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10
A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
Stock, James H.
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1989
An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...
Persistent link: https://www.econbiz.de/10012475849
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