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Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions

Jang, Kyungho - Econometric Society - 2004

This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...

Persistent link: https://www.econbiz.de/10005702745

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …

Persistent link: https://www.econbiz.de/10005328904

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

An Alternative Estimation of Spurious Regression Model

Rahman, Shahidur - Econometric Society - 2004

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

Persistent link: https://www.econbiz.de/10005342144

Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration

Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004

cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …

Persistent link: https://www.econbiz.de/10005342164

Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand

Bunzel, Helle - Econometric Society - 2004

This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …

Persistent link: https://www.econbiz.de/10005342277

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis

Choi, In; Chue, Timothy - Econometric Society - 2004

-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …

Persistent link: https://www.econbiz.de/10005342342

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Nonstationary Nonlinear Heteroskedasticity in Regression

Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004

This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares methods in the presence of conditional...

Persistent link: https://www.econbiz.de/10005086429

Generalized Reduced Rank Tests using the Singular Value Decomposition

Paap, Richard; Kleibergen, Frank - Econometric Society - 2004

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

Persistent link: https://www.econbiz.de/10005063654