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Jochmann, Markus; Koop, Gary - Rimini Centre for Economic Analysis (RCEA) - 2011

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of...

Persistent link: https://www.econbiz.de/10009320949

Do Emissions and Income Have a Common Trend? A Country-Specific, Time-Series, Global Analysis, 1970-2008

Paruolo, Paolo; Murphy, Ben; Janssen-Maenhout, Greet - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper uses Vector Autoregressions that allow for nonstationarity and cointegration to investigate the dynamic …

Persistent link: https://www.econbiz.de/10010551746

Why a Diversified Portfolio Should Include African Assets

Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - Rimini Centre for Economic Analysis (RCEA) - 2010

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …

Persistent link: https://www.econbiz.de/10008725690

COINTEGRATION AND ASYMMETRIC ADJUSTMENT: SOME NEW EVIDENCE CONCERNING THE BEHAVIOUR OF THE US CURRENT ACCOUNT

Holmes, Mark J.; Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2009

find evidence in favour of cointegration through the application of the standard Johansen methodology. Employing the Trace … cointegrated. We also consider the Breitung (2002) and Breitung and Taylor (2003) nonparametric cointegration test procedures that …

Persistent link: https://www.econbiz.de/10008498047

Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries

Alagidede, Paul; Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2010

markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …

Persistent link: https://www.econbiz.de/10008469819

The Sustainability of India's current account (1950-2003): Evidence from parametric and non-parametric unit root and cointegration tests

Panagiotidis, Theodore; Holmes, Mark J.; Sharma, Abhijit - Rimini Centre for Economic Analysis (RCEA) - 2007

. After testing for unit roots that allow for a structural break, we employ parametric tests for cointegration: based on … identified characterised by whether or not imports and exports are cointegrated. The regime of non-cointegration runs until the … late 1990s and the second regime of cointegration is present after that. This latter regime coincides with the …

Persistent link: https://www.econbiz.de/10005091091

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008

of the filter for signal extraction, trend prediction and cointegration estimation for univariate and bivariate series …

Persistent link: https://www.econbiz.de/10005091110

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - Rimini Centre for Economic Analysis (RCEA) - 2009

Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We …

Persistent link: https://www.econbiz.de/10008487518

Errors-in-Variables Estimation with No Instruments

Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

Persistent link: https://www.econbiz.de/10008487529