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Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...

Persistent link: https://www.econbiz.de/10009613608

The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a "synthetic" euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …

Persistent link: https://www.econbiz.de/10009583879

The fundamental determinants of the real exchange rate of the US dollar relative to other G-7 currencies

Stein, Jerome L. - 1995

Persistent link: https://www.econbiz.de/10000554604

What determines real exchange rates? : The long and short of it

MacDonald, Ronald - 1997

Persistent link: https://www.econbiz.de/10000961158

Current account reversals and currency crises : empirical regularities

Milesi-Ferretti, Gian Maria; Razin, Asaf - 1998

Persistent link: https://www.econbiz.de/10000992355

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …

Persistent link: https://www.econbiz.de/10009582386

A joint test of fractional cyclic integration and a linear time trend

Gil-Alaña, Luis A. - 2001

We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM)...

Persistent link: https://www.econbiz.de/10009613609

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916170

On large deviations in testing Ornstein-Uhlenbeck type models with delay

Gapeev, P. V. (contributor); Küchler, U. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001917044

Credit contagion and aggregate losses

Giesecke, Kay; Weber, Stefan - 2002

Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...

Persistent link: https://www.econbiz.de/10009627288