Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice...

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...

The article shows the optimal monetary policy problem in three different cases. The first is optimization "under discretion". This means that a central bank can reoptimize its behaviour each period and is not history dependent. The second approach is optimization "under commitment" which means...

The paper deals with a baseline New Keynesian DSGE model for a closed economy. The model follows the concept of the New Open Economy Macroeconomics based on microeconomic foundations enriched with real and nominal rigidities. It is estimated with Bayesian technique using quarterly Eurozone data....

This paper reports quarterly ex ante forecasts of macroeconomic activity for the U.S.A., Japan and Australia for the period 1995-1997. The forecasts are based on automated time series models of vector autoregressions (VAR's), reduced rank regressions (RRR's), error correction models (ECM's) and...