Similar Search Results

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

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

Currency crashes in emerging markets : an empirical treatment

Frankel, Jeffrey A.; Rose, Andrew - 1996

Persistent link: https://www.econbiz.de/10000930629

A dynamic linear model of the determinants of yield spreads on fixed-income securities

Crabbe, Leland E.; Turner, Christopher M. - 1993

Persistent link: https://www.econbiz.de/10000929313

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