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Estimates of Demand for Money and Consumption Functions for the Household Sector in Poland, 1967-1999

Chawluk, Antoni - Department of Economics, Oxford University - 2000

The paper analyses household money demand and consumption. Variables that measure shortage and expectations about its future course are introduced to capture the effects of the transition from centrally planned to market economy. The Johansen procedure is used to identify a system of the two...

Persistent link: https://www.econbiz.de/10010605158

Computer Automation of General-to-Specific Model Selection Procedures

Hendry, David; Krolzig, Hans-Martin - Department of Economics, Oxford University - 2000

Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard...

Persistent link: https://www.econbiz.de/10010605180

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

Persistent link: https://www.econbiz.de/10011004208

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

Identification and forecasting in the Lee-Carter model

Nielsen, Bent; Nielsen, J.P. - Department of Economics, Oxford University - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for...

Persistent link: https://www.econbiz.de/10011004332

Testing for rational bubbles in a co-explosive vector autoregression

Nielsen, Bent; Engsted, Tom - Department of Economics, Oxford University - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable,...

Persistent link: https://www.econbiz.de/10011004458

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10011277856

Autoregressive conditional root model

Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10010604833

Analysis of co-explosive processes

Nielsen, Bent - Department of Economics, Oxford University - 2005

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

Persistent link: https://www.econbiz.de/10010604868