In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects...

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...

Because the parameters of vector autoregressive processes are often difficult to interpret directly, econometricians use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are often used for inference on the derived quantities....

Unobserved heterogeneity is a serious but often neglected problem in structural equation modelling (SEM) challenging the validity of many empirical results. Recently, a finite mixture approach to SEM has been proposed to resolve this problem but until now only a few studies analyse the...