To test for the number of cointegrating relationships among multivariate time series, the likelihood ratio (LR) test for ranks is commonly used. The distribution of the LR test in partially nonstationary models is nonstandard and nonsymmetric in the presence of non-iid errors. In contrast we...

It is sometimes argued that the central banks influence the private economy in the short run through controlling a specific component of high powered money, not its total amount. Using a structural VAR approach, this paper evaluates this claim empirically, in the context of the Japanese economy....

The book presents a systematic and operational approach to econometric modelling of time series subject to shifts in regime. The first part gives a comprehensive mathematical and statistical analysis of the Markov-switching vector autoregressive model. It deals with the theoretical properties...

There has been considerable recent interest in testing for a unit root in autoregressive models, especially in the context of cointegration models in econometrics. The likelihood ratio test for a unit root has non-standard asymptotic behaviour. In particular, when the errors are Gaussian, the...