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A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any...

Persistent link: https://www.econbiz.de/10009611544

Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998

Nielsen, Hannah; Tullio, Giuseppe; Wolters, Jürgen - 2000

A money demand function for M2 is estimated for Italy for the period 1972-1998 within an error correction framework. This period has been characterized by major structural changes in the Italian financial system and by major changes in monetary policy. This study takes these changes into...

Persistent link: https://www.econbiz.de/10009611545

Inference on the cointegration rank in fractionally integrated processes

Breitung, Jörg; Hassler, Uwe - 2000

generalizes to multivariate cointegration tests just as the Dickey-Fuller test does. Thus it allows to determine the cointegration … depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples …

Persistent link: https://www.econbiz.de/10009611546

Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is … article. -- Fractional cointegration ; Long memory …

Persistent link: https://www.econbiz.de/10009612018

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Bootstrap inference in single equation error correction models

Herwartz, Helmut; Neumann, Michael H. - 2000

correction models ; panel cointegration analysis ; bootstrap … assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short …

Persistent link: https://www.econbiz.de/10009612036

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...

Persistent link: https://www.econbiz.de/10009612040

The Polish crawling peg system : a cointegration analysis

Trenkler, Carsten - 2000

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 …

Persistent link: https://www.econbiz.de/10009612052

Sources of German unemployment : a structural vector error correction analysis

Brüggemann, Ralf - 2001

parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages … ; Cointegration …

Persistent link: https://www.econbiz.de/10009613616