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Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...

Persistent link: https://www.econbiz.de/10001693105

Money growth and inflation : implications of reducing the bias of VAR estimates

Brännström, Tomas - 1995

Persistent link: https://www.econbiz.de/10000925062

Rational bubbles and fractional alternatives

Eklund, Bruno; Nydahl, Stefan - 1998

Persistent link: https://www.econbiz.de/10000995305

Statistical properties of the asymmetric power ARCH process

He, Changli; Teräsvirta, Timo - 1997

Persistent link: https://www.econbiz.de/10000971492

An alternative explanation of the prize puzzle

Giordani, Paolo (contributor) - 2001 - [Elektronische Ressource], Rev. November 19, 2001

This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....

Persistent link: https://www.econbiz.de/10001600038

Stronger evidence of long-run neutrality : a comment on Bernanke and Mihov

Giordani, Paolo (contributor) - 2001 - [Elektronische Ressource], Rev. May 11, 2001

Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...

Persistent link: https://www.econbiz.de/10001600067

Essays in monetary economics and applied econometrics

Giordani, Paolo - 2001

Persistent link: https://www.econbiz.de/10001613659

On seasonal error correction when the processes include different numbers of unit roots

Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …

Persistent link: https://www.econbiz.de/10001600047

Error correction in DHSY

Eliasson, Ann-Charlotte (contributor); … - 2002 - [Elektronische Ressource]

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10001714625

Modelling the demand for M3 in the unified Germany

Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996

Persistent link: https://www.econbiz.de/10000936487

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