Search Results - subject:"Cointegration"

International Health Expenditure and GDP: New Multivariate Cointegration Panel Data Results

Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

In this paper we test for existence of cointegration between health expenditure and GDP using data from 19 OECD …-based inference and a new panel test for cointegration rank are presented. The empirical modelling is based on a bivariate vector …

Persistent link: https://www.econbiz.de/10005771158

Measuring Potential Output in the Agricultural Sector: The Case of Greece

Ghatak, Subrata; Manolas, George; Vavouras, Ioannis - In: European Research Studies Journal I (1998) 3, pp. 26-40

produce medium-term projections for it. The Hodrick-Prescott filter and the "production function" approach using cointegration …

Persistent link: https://www.econbiz.de/10008512804

Tests of integration in circular autoregressive models

Paruolo, Paolo - In: Statistical Methods and Applications 7 (1998) 3, pp. 297-306

Persistent link: https://www.econbiz.de/10008497257

An error correction approach to modelling money balances and reserves

Civcir, I.; Parikh, A. - In: Journal of Economic Studies 25 (1998) September, pp. 277-295

The objective of this study is to propose an economic model of the nominal money balances and reserves in the Turkish economy during the period 1960-1988. As most of the variables show unit root non-stationarity, an approach based on the error correction system (Phillips, 1991) is adopted. The...

Persistent link: https://www.econbiz.de/10005003274

An Application of an Error Correction Model with Higher Order Cointegrated Variables to the Demand for Money in Switzerland

Krishnakumar, Jaya; Gueye, El-Hadji - Institut d'Economie et Econométrie, Université de Genève - 1998

This paper applies the maximum likelihood technique to estimate the parameters of a money demand equation for Switzerland in which there are variable integrated of different orders and in particular of order greater than 1. The estimation method developed by the authors has been explained in...

Persistent link: https://www.econbiz.de/10005075688

Empirical modeling of money demand

Ericsson, Neil R. - In: Empirical Economics 23 (1998) 3, pp. 295-315

theory, data measurement, parameter constancy, the opportunity cost of holding money, cointegration, model specification …

Persistent link: https://www.econbiz.de/10005166656

Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK

Mizon, Grayham E.; Hendry, David F. - In: Empirical Economics 23 (1998) 3, pp. 267-294

that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance …

Persistent link: https://www.econbiz.de/10005166743

On the asymptotic distribution of impulse response functions with long run restrictions

Vlaar, P.J.G. - de Nederlandsche Bank - 1998

In this paper, the asymptotic distribution of the parameters of the moving average representation of structural VAR models with long run restrictions is derived. Moreover, it is shown that the structural model can easily be estimated in a two step procedure, where the reduced form model...

Persistent link: https://www.econbiz.de/10005030230

Maximum Likelihood Estimation of Cointegrated Systems with Higher Order Integrated Variables and Asymptotic Equivalence with Generalised Least Squares

Krishnakumar, Jaya; Gueye, El-Hadji - Institut d'Economie et Econométrie, Université de Genève - 1998

. Unlike the case of I(1) variables, there are various possibilities of cointegration in the higher order case, which were … already incroporates the diffrent cointegration restrictions and apply maximum likelihood to estimate the parameters. …

Persistent link: https://www.econbiz.de/10005687146

On the Long Run Effects of Public Capital and Disaggregated Public Capital on Aggregate Output

Batina, Raymond - In: International Tax and Public Finance 5 (1998) 3, pp. 263-281

We study the cointegration properties of data on aggregate output, five proxies for labor, two proxies for private …. When public capital is disaggregated by type there is less evidence for cointegration. Finally, innovations in public …

Persistent link: https://www.econbiz.de/10005542938