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A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors.

Johansen, S. - Department of Economics, European University Institute - 1999

A correction factor, depending on sample size and parameters, is found for the likelihood ratio test for some linear hypotheses on the cointegrating space in a vector autoregressive model, where the adjustment coefficients are known. The main idea is to condition on the common trends when making...

Persistent link: https://www.econbiz.de/10005744267

Indeterminacy with Non-Separable Utility.

Bennett, R.L.; Farmer, R.E.A. - Department of Economics, European University Institute - 1999

Benhabib and Farmer [3] showed that a single sector growth model in the presence of increasing returns-to-scale may display an indeterminate equilibrium if the demand and supply curves cross with the "wrong slopes". We generalize their result to a model with preferences that are non-separable in...

Persistent link: https://www.econbiz.de/10005816438

Sequential Decision Processes Make Behavioural Types Endogenous.

de Villemur, E.B. - Department of Economics, European University Institute - 1999

Though economic theory is not able to establish any foundation for the behaviour of the economic agents, it can provide useful criteria for classifying their different ways of bahaving. It is of interest to look at the type of behaviour that is likely to emerge in the economy.

Persistent link: https://www.econbiz.de/10005816453

Market vs. residence principle : experimental evidence on the effects of a financial transaction tax

Huber, Jürgen; Kirchler, Michael; Kleinlercher, Daniel; … - Department of Economics, European University Institute - 2014

While politically attractive in order to generate tax revenues, the effects of a financial transaction tax (FTT) are scientifically disputed, not the least because seemingly small details of its implementation may matter a lot. In this paper, we provide experimental evidence on the different...

Persistent link: https://www.econbiz.de/10010748436

Early News Is Good News. The Effects of Market Opening on Market Volatility.

Gallo, G.M.; Pacini, B. - Department of Economics, European University Institute - 1998

In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

Persistent link: https://www.econbiz.de/10005744354

Forecasting Levels of log Variables in Vector Autoregressions

Bardsen, Gunnar; Luetkepohl, Helmut - Department of Economics, European University Institute - 2009

Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast of the original variable by simply applying the exponential...

Persistent link: https://www.econbiz.de/10005004542

Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity

Herwartz, Helmut; Luetkepohl, Helmut - Department of Economics, European University Institute - 2009

model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the …

Persistent link: https://www.econbiz.de/10008558921

How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence

Mertens, Karel - Department of Economics, European University Institute - 2006

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

Persistent link: https://www.econbiz.de/10005557697

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - Department of Economics, European University Institute - 2008

This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and … standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005557701

Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative

BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut - Department of Economics, European University Institute - 2004

Johansen's reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction … estimator can indeed be an attractive alternative to ML estimation of cointegration parameters. …

Persistent link: https://www.econbiz.de/10005557721