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Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression?

van Dijk, D.; Berben, R.P. - Econometrisch Instituut, Faculteit der Economische … - 1998

assume the existence of cointegration between the variables involved. In this paper, we investigate the consequences of … interpret the test for long horizon predictability as a single equation test for cointegration. …

Persistent link: https://www.econbiz.de/10005625244

Reduced Rank Regression Using Generalized Method of Moments Estimators, with Extensions to Structural Breaks in Cointegration Models.

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1997

Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM). The GMM (2SLS) estimators of the cointegrating … analyzed. First, cointegration estimators and tests allowing for structural shifts in the variance (heteroscedasticity) of the … cointegrating vectors estimators have again normal limiting distributions while the cointegration tests have limiting distributions …

Persistent link: https://www.econbiz.de/10005660875

Modelling Multiple Regimes in the Business Cycle.

Van Dijk, D.; Franses, P.H. - Econometrisch Instituut, Faculteit der Economische … - 1997

The Interest in business cycle asymmetry has been steadily increasing over the last fifteen years. Most research has focused on the different behaviour of macro-economic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase...

Persistent link: https://www.econbiz.de/10005660893

Bayesian and Classical Approaches to Instrumental Variable Regression.

Kleibergen, F.; Zivot, E. - Econometrisch Instituut, Faculteit der Economische … - 1998

We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression. We determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Persistent link: https://www.econbiz.de/10005660912

On the Interpretation of Seasonally Adjusted Data.

Franses, PH.H.B.F. - Econometrisch Instituut, Faculteit der Economische … - 1999

This paper suveys several recently proposed regression-based methods that can be used to evaluate the usefulness of seasonally adjusted data, with specific focus on Census X-12 adjustment. These methods examine whether seasonality has indeed been removed and whether key properties (like a trend...

Persistent link: https://www.econbiz.de/10005775831

Do the US and Canada Have a Common Nonlinear Cycle in Unemployment?

Franses, Ph.H.B.F.; Paap, R. - Econometrisch Instituut, Faculteit der Economische … - 1999

To enable answering the question in the title, we introduce a bivariate censored latent effects autoregression, and discuss representation, parameter estimation, diagnostics and inference. We show that this bivariate nonlinear model is very useful for examining common nonlinearity. We apply the...

Persistent link: https://www.econbiz.de/10005625222

THE POSTERIOR DISTRIBUTION OF ROOTS IN MULTIVARIATE AUTOREGRESSIONS.

GEWEKE, J. - Econometrisch Instituut, Faculteit der Economische … - 1989

Persistent link: https://www.econbiz.de/10005619201

Forecasting Volatility with Switching Persistence GARCH Models.

Franses, P.H.; Neele, J.; van Dijk, D. - Econometrisch Instituut, Faculteit der Economische … - 1998

In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....

Persistent link: https://www.econbiz.de/10005207500

Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data

Franses, P.H.; Kloek, T.; Lucas, A. - Econometrisch Instituut, Faculteit der Economische … - 1996

. Since the data show nonstationary characteristics, we rely on cointegration techniques to estimate long-run and short …-run parameters. Additionally, as there are many outlying observations in our weekly scanning data, we applu robust cointegration …

Persistent link: https://www.econbiz.de/10005474862

Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration.

Paap, R.; Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1998

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …

Persistent link: https://www.econbiz.de/10005660887