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Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

A Simple Test for Spurious Regressions

Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...

Persistent link: https://www.econbiz.de/10009147394

Statistical analysis of global surface air temperature and sea level using cointegration methods

Schmith, Torben; Johansen, Søren; Thejll, Peter - School of Economics and Management, University of Aarhus - 2011

due to the trending nature of the time series. We apply a statistical method called cointegration analysis to observed …

Persistent link: https://www.econbiz.de/10009365640

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010

to the impact of the estimated cointegration relations. With respect to testing, this makes implementation of testing …

Persistent link: https://www.econbiz.de/10008677954

A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs …

Persistent link: https://www.econbiz.de/10008752898

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

Persistent link: https://www.econbiz.de/10010851169

Times Series: Cointegration

Johansen, Søren - School of Economics and Management, University of Aarhus - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940882

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010940883

A Regime Switching Long Memory Model for Electricity Prices

Haldrup, Niels; Nielsen, Morten O. - School of Economics and Management, University of Aarhus - 2004

this means that in some regimes, an extreme form of fractional cointegration amongst prices will exist. We define a Markov …

Persistent link: https://www.econbiz.de/10005787517

First and second order non-linear cointegration models

Lange, Theis - School of Economics and Management, University of Aarhus - 2009

This paper studies cointegration in non-linear error correction models characterized by discontinuous and regime … consistent even in this highly extended model, and iv) asymptotic normality of the parameters for xed cointegration vector and …

Persistent link: https://www.econbiz.de/10005787551