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Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short … is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the …

Persistent link: https://www.econbiz.de/10009617950

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

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

Forecasting sectoral trade growth under flexible exchange rates

Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918993

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

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …

Persistent link: https://www.econbiz.de/10009660377

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

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Saikkonen, Pentti - 2001

This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....

Persistent link: https://www.econbiz.de/10009616775

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the...

Persistent link: https://www.econbiz.de/10009620776