It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Die relative Kaufkraftparitätentheorie (KKPT) wird am Beispiel des DM-Peseten-Kurses auf ihre Stichhaltigkeit in der langen Frist überprüft. Methodisch wird dabei auf zwei Verfahren der Kointegrationsanalyse zurückgegriffen. Trotz einer Vielzahl von Ansätzen kann nur in zwei Fällen...

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between...