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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
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Currency Substitution, Portfolio Diversification and Money Demand
Freitas, Miguel Lebre de - Econometric Society - 2004
The paper explores the implications of means of payment substitutability and capital mobility on the properties of the money demand, using the Thomas (1985) stochastic dynamic optimising model, where the specific role of money is explicitly accounted for. Extending the model to a case in which...
Persistent link: https://www.econbiz.de/10005328925
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The Changing Malaysian Financial Environment and the Effects on Its Monetary Policy Transmission Mechanism
Raghavan, Mala Valliammai - Econometric Society - 2004
Malaysia have affected the transmission channels of monetary policy and their ability to achieve the ultimate goals of …
Persistent link: https://www.econbiz.de/10005342178
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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
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Nonstationary Nonlinear Heteroskedasticity in Regression
Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004
invalid. In the paper, we develop an unbiased and efficient method of estimation and a chi-square test applicable for the …
Persistent link: https://www.econbiz.de/10005086429
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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
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063680
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The Value of Structural Information in the VAR Model
Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10005063701
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063718