comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration … has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I … find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt … interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of … properties f(x) are studied via a set of simulation experiments. -- cointegration ; nonstationary time series models ; null …

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …