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Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1988

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …

Persistent link: https://www.econbiz.de/10005749557

The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1989

This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non … dummies. The hypothesis of cointegration is given a simple parametric form in terms of cointegration vectors and their weights … related to the weights. Tests for the presence of cointegration vectors, both with and without a linear trend in the non …

Persistent link: https://www.econbiz.de/10005232990

Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the Long Run? - An Example of Likelihood in a Multivariate Time-Series Model

: Katarina Juselius - Økonomisk Institut, Københavns Universitet - 1993

representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the …

Persistent link: https://www.econbiz.de/10005543484

Market Integration and Transport Costs in France 1825-1903: A Threshold Error Correction Approach to the Law of One Price

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 1998

This paper argues that the appropriate standard for the analysis of commodity market integration is the transport cost adjusted law of one price. A threshold error correction model that incorporates that property is developed and applied to French wheat prices in the 19th century. This type of...

Persistent link: https://www.econbiz.de/10005749685

The Gains from Improved Market Efficiency: Trade Before and After the Transatlantic Telegraph

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 2006

This paper looks at the gains from improved market efficiency in long-distance grain trade in the second half of the 19th century when violations of the law of one price were reduced due to improved information transmission. Two markets, a major export centre, Chicago, and a major importer,...

Persistent link: https://www.econbiz.de/10005749733

The Nature and Costs of Dis-Equilibrium Trade: The Case of Transatlantic Grain Exports in the 19th Century

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 2005

The essential issue addressed in this paper is whether inefficient spatial arbitrage has significant welfare effects. The paper looks at the gains from improved market efficiency in transatlantic grain trade in the period 1855-1895. It shows that there is a law of one price equilibrium but that...

Persistent link: https://www.econbiz.de/10005749744

On the Causal Links between FDI and Growth in Developing Countries

Hansen, Henrik; Rand, John - Økonomisk Institut, Københavns Universitet - 2004

We analyse the Granger-causal relationships between foreign direct investment (FDI) and GDP in a sample of 31 developing countries covering the period 1970-2000. Using estimators for heterogeneous panel data we find bi-directional causality between the FDI/GDP ratio and the level of GDP. FDI is...

Persistent link: https://www.econbiz.de/10005749724

The latent factor VAR model: Testing for a common component in the intraday trading process

Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2005

In this paper, we propose a framework for the modelling of multivariate dynamic processes which are driven by an unobservable common autoregressive component. Economically motivated by the mixture-of-distribution hypothesis, we model the multivariate intraday trading process of return...

Persistent link: https://www.econbiz.de/10005750002

Optimal hedging with the cointegrated vector autoregressive model

Gatarek, Lukasz; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010937269

Times Series: Cointegration

Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940436