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Parameter Estimation and Inference with Spatial Lags and Cointegration
Mutl, Jan; Sögner, Leopold - Department of Economics and Finance Research and … - 2013
We study dynamic panel data models where the long run outcome for a particular crosssection is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...
Persistent link: https://www.econbiz.de/10010904373
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The Long Run, Market Power and Retail Pricing
Jumah, Adusei - Department of Economics and Finance Research and … - 2000
The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers … Johansen cointegration technique as a tool capable of analysing both competitive and imperfect market situations is also …
Persistent link: https://www.econbiz.de/10005247722
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Bierens' and Johansen's Method - Complements or Substitutes?
Wagner, Martin - Department of Economics and Finance Research and … - 1999
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10005704183
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The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?
Wagner, Martin - Department of Economics and Finance Research and … - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10005704190
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On the role of seasonal intercepts in seasonal cointegration
Franses, Philip Hans; Kunst, Robert M. - Department of Economics and Finance Research and … - 1995
In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit … seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration …
Persistent link: https://www.econbiz.de/10005704193
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On the Use of Multivariate Cointegration Analysis in Residential Energy Demand Modelling
Madlener, Reinhard - Department of Economics and Finance Research and … - 1996
The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of …
Persistent link: https://www.econbiz.de/10005823244
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Autoregressive Approximations of Multiple Frequency I(1) Processes
Bauer, Dietmar; Wagner, Martin - Department of Economics and Finance Research and … - 2005
We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...
Persistent link: https://www.econbiz.de/10005823256
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Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture
Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 1995
eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of …
Persistent link: https://www.econbiz.de/10005764138
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VAR Cointegration in VARMA Models
Wagner, Martin - Department of Economics and Finance Research and … - 1999
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …
Persistent link: https://www.econbiz.de/10005764151
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Forecasting Stock Market Averages to Enhance Profitable Trading Strategies
Haefke, Christian; Helmenstein, Christian - Department of Economics and Finance Research and … - 1995
arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture …
Persistent link: https://www.econbiz.de/10005764180