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Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short … acts as the basis for frequency domain Gaussian estimation of the unknown parameters using discrete time data.We formally …

Persistent link: https://www.econbiz.de/10011090524

Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with …

Persistent link: https://www.econbiz.de/10011090961

Art and Money

Renneboog, Luc; Goetzmann, W.; Spaenjers, C. - Tilburg University, Center for Economic Research - 2010

prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration …

Persistent link: https://www.econbiz.de/10011090912

Multiple equilibria in German employment : Simultaneous identification of structural breaks

Belke, A.; Göcke, M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011091359

Nonparametric cointegration analysis

Bierens, H.J. - Tilburg University, Center for Economic Research - 1995

In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating … estimation of structural and/or nuisance parameters. This nonparametric approach is in the same spirit as Johansen s LR method in …

Persistent link: https://www.econbiz.de/10011091794