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

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

for size correction. -- Cointegration ; weak exogeneity ; bootstrap test ; Subset VECM … test is based on mapping the cointegrated VAR model into VECM representation and then reducing the model using some model …

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 …

decompositions are presented as tools for analyzing VAR models. -- Cointegration ; forecasting ; dynamic econometric models ; impulse …An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models …

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 …