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Nonlinear error correction and the UK demand for broad money, 1878 - 1993

Teräsvirta, Timo; Eliasson, Ann-Charlotte - 1998 - Rev. version

Persistent link: https://www.econbiz.de/10000998499

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

Incomplete exchange rate pass-through and simple monetary policy rules

Adolfson, Malin (contributor) - 2001 - [Elektronische Ressource]

The performance of various monetary rules is investigated in an open economy with incomplete exchange rate pass-through. Implementing monetary policy through an exchange-rate augmented policy rule does not improve social welfare compared to using an optimized Taylor rule, irrespective of the...

Persistent link: https://www.econbiz.de/10001622452

On seasonality and cointegration

Löf, Mårten - 2001

Persistent link: https://www.econbiz.de/10001582796

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

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

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

Solution and estimation of RE macromodels with optimal policy

Söderlind, Paul - 1998

Persistent link: https://www.econbiz.de/10000993261

Monetary policy and the fisher effect

Söderlind, Paul - 1997

Persistent link: https://www.econbiz.de/10000958081

Reaction function estimation when central banks face adjustment costs

Roszbach, Kasper - 1997

Persistent link: https://www.econbiz.de/10000958430

Testing parameter constancy in stationary vector autoregressive models against continuous change

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

literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to …

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

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492