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We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
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employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10009786715
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There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10011409009
The empirical growth literature has focused on capital accumulation but largely ignored productivity growth. To address this imbalance, we propose a methodology for analyzing productivity convergence based on frontier production functions. We examine whether departures from the frontier are...
Persistent link: https://www.econbiz.de/10010466016