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  • Search: subject:"Adjustment coefficients"
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Year of publication
Subject
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adjustment coefficients 8 Adjustment coefficients 6 Cointegration 6 Kointegration 6 Co-integration 5 Estimation theory 5 Schätztheorie 5 (un)conditional heteroskedasticity 4 Time series analysis 4 VAR model 4 VAR-Modell 4 Zeitreihenanalyse 4 heteroskedasticity-robust inference 4 wild bootstrap 4 Bootstrap approach 2 Bootstrap-Verfahren 2 CVAR 2 Cointegrated VAR model 2 Dickey-Fuller distributions 2 Monte Carlo Methods 2 Rational expectations 2 Rationale Erwartung 2 Reduced rank regression 2 Regression analysis 2 Regressionsanalyse 2 Sequential Test 2 Structural Break 2 Volatility 2 Volatilität 2 causal models 2 cointegrated vector autoregressive model 2 cointegrating coefficients 2 cointegrating relations 2 cointegration 2 econometric analysis of macroeconomic data 2 error correction models 2 likelihood inference 2 mixed Gaussian distribution 2 nonstationarity 2 (un)Conditional heteroskedasticity 1
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Online availability
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Free 13 Undetermined 3 CC license 1
Type of publication
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Book / Working Paper 9 Article 6 Other 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1
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Language
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English 10 Undetermined 6
Author
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Johansen, Søren 6 Cavaliere, Giuseppe 5 Rahbek, Anders 5 Boswijk, H. Peter 3 Boswijk, Herman Peter 2 Swensen, Anders Rygh 2 Taylor, A. M. Robert 2 Taylor, Robert 2 Barassi, MR 1 Barassi, Marco R. 1 Caporale, GM 1 Caporale, Guglielmo Maria 1 Hall, SG 1 Hall, Stephen G. 1 Kurita, Takamitsu 1 Safwan Mohd Nor 1 Siti Aisyah Mustafa 1 Taylor, A.M. Robert 1 Zairihan Abdul Halim 1 Zawawi, Nur Haiza Muhammad 1 Р, АБДУРАМАНОВ 1 Ю, ПАСЕНЧЕНКО 1
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Institution
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Økonomisk Institut, Københavns Universitet 2 School of Economics and Management, University of Aarhus 1 Tinbergen Instituut 1
Published in...
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Discussion Papers / Økonomisk Institut, Københavns Universitet 2 Business systems research : a system view accross technology & economics : the journal of Society for Advancing Innovation and Research in Economy 1 CREATES Research Papers 1 CREATES research paper 1 Discussion paper / Tinbergen Institute 1 Discussion papers / Department of Economics, University of Copenhagen 1 Econometrics 1 Econometrics : open access journal 1 Journal of econometrics 1 Journal of quantitative economics 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Вісник Киiвського нацiонального унiверситету iм. Тараса Шевченка. Серiя: Економiка Bulletin of Taras Shevchenko National University of Kyiv. Economics. 1
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Source
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ECONIS (ZBW) 7 RePEc 5 BASE 2 EconStor 2
Showing 1 - 10 of 16
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Estimating short-term default probabilities conditional to economic conditions : applications of regularisation approach and economic adjustment coefficients
Siti Aisyah Mustafa; Safwan Mohd Nor; Zairihan Abdul Halim - In: Business systems research : a system view accross … 16 (2025) 1, pp. 178-197
Background: Corporate bonds are crucial for corporations as they provide a flexible and often less costly alternative to equity financing. However, rising corporate debt levels, along with rating downgrades and economic uncertainty, can cause corporations to face financial distress, exacerbating...
Persistent link: https://www.econbiz.de/10015416312
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren; Swensen, Anders Rygh - 2021
Persistent link: https://www.econbiz.de/10012620761
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren; Swensen, Anders Rygh - 2021
Persistent link: https://www.econbiz.de/10012627501
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Cointegration and adjustment in the CVAR(É) representation of some partially observed CVAR(1) models
Johansen, Søren - In: Econometrics 7 (2019) 1, pp. 1-10
order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are …
Persistent link: https://www.econbiz.de/10012696218
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Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models
Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10
order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are …
Persistent link: https://www.econbiz.de/10012025719
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A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems
Kurita, Takamitsu - In: Journal of quantitative economics 17 (2019) 2, pp. 251-270
Persistent link: https://www.econbiz.de/10012418663
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Times Series: Cointegration
Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014
adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are …
Persistent link: https://www.econbiz.de/10010940436
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Times Series: Cointegration
Johansen, Søren - School of Economics and Management, University of Aarhus - 2014
adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are …
Persistent link: https://www.econbiz.de/10010940882
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Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; … - 2013
the adjustment coefficients in vector autoregressions driven by both conditional and unconditional heteroskedasticity of a …-integrating vectors and adjustment coefficients. …
Persistent link: https://www.econbiz.de/10010328330
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Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; … - Økonomisk Institut, Københavns Universitet - 2013
the adjustment coefficients in vector autoregressions driven by both conditional and unconditional heteroskedasticity of a …-integrating vectors and adjustment coefficients. …
Persistent link: https://www.econbiz.de/10010722850
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