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A COINTEGRATION AND ERROR CORRECTION APPROACH TO DEMAND FOR MONEY IN FIJI: 1971-2002

Rao, B Bhaskara; Singh, Rup - EconWPA - 2005

adequately captured by the cointegration and error- correction models. Income and interest rate elasticities are found to be …

Persistent link: https://www.econbiz.de/10005126361

Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries

Clemente, Jesus; Montañes, Antonio; Reyes, Marcelo - EconWPA - 2004

This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the …

Persistent link: https://www.econbiz.de/10005556324

Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

Persistent link: https://www.econbiz.de/10005124909

Efficiency tests in the Iberian stock markets

Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

Persistent link: https://www.econbiz.de/10005134722

SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device.

Díaz-Emparanza, Ignacio - EconWPA - 2004

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal...

Persistent link: https://www.econbiz.de/10005407901

Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

Persistent link: https://www.econbiz.de/10005408164

The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

Lopes, Artur C. B. da Silva; Montañés, Antonio - EconWPA - 2004

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...

Persistent link: https://www.econbiz.de/10005119200

Cointegration in Frequency Domain

Levy, Daniel - EconWPA - 2004

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series …

Persistent link: https://www.econbiz.de/10005556273

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory....

Persistent link: https://www.econbiz.de/10005556281

Testing Cointegration Rank in Large Systems

Pu, Chen; Chihying, Hsiao - EconWPA - 2005

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. Especially for the cases of few …

Persistent link: https://www.econbiz.de/10005556351