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The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …

Persistent link: https://www.econbiz.de/10009616780

Was there a regime change in the German monetary transmission mechanism in 1983?

Candelon, Bertrand; Lütkepohl, Helmut - 2000

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

Persistent link: https://www.econbiz.de/10009583433

Exploring credit data

Müller, Marlene; Härdle, Wolfgang - 2002

Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation of a credit score and the estimation of the probability of default. One of the standard approaches is logistic discriminant analysis, also referred to as logit model. This model...

Persistent link: https://www.econbiz.de/10009627282

Further VAR evidence for the effectiveness of a credit channel in Germany

Holtemöller, Oliver - 2002

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...

Persistent link: https://www.econbiz.de/10009626675

Rank tests for nonlinear cointegration

Breitung, Jörg - 1998

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

Persistent link: https://www.econbiz.de/10009578004

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

Persistent link: https://www.econbiz.de/10009578552

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

Persistent link: https://www.econbiz.de/10009578561

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627