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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong - 1997
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10012472881
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The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles - 1996
economic theory in which the permanent component represents real influences, while the transitory component represents …
Persistent link: https://www.econbiz.de/10012473057
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Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J. - 1990
equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10012475744
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Cointegration and Tests of Present Value Models
Campbell, John Y. - 1986
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...
Persistent link: https://www.econbiz.de/10012477190
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Estimating the Long-Run Relationship Between Interest Rates and Inflation : A Response to McCallum
Summers, Lawrence H. - 1984
This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...
Persistent link: https://www.econbiz.de/10012477640
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Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption
Lettau, Martin - 2003
Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...
Persistent link: https://www.econbiz.de/10012468849
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Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C. - 2003
Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...
Persistent link: https://www.econbiz.de/10012469103
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Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
Mark, Nelson C. - 2002
We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed … infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close …
Persistent link: https://www.econbiz.de/10012469343
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Continuous-Time Linear Models
Cochrane, John H. - 2012
models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …
Persistent link: https://www.econbiz.de/10012460479
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Hard-to-measure goods and services : essays in honor of Zvi Griliches
Berndt, Ernst R. (contributor); Griliches, Zvi (honouree);  … - 2007
Persistent link: https://www.econbiz.de/10003399106