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is fundamentally uncertain which covariates are relevant. Thus cointegration is often analyzed in partial systems … significant cointegration outcome using a bootstrapped rank test (Cavaliere, Rahbek, and Taylor, 2012) in the bivariate sub … reject the null of no cointegration, but by simulation we find that they display very low power, such that the (bivariate …
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We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...
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, a cointegration analysis of productivity, prices, real wages, employment, and the unemployment rate reveals two long run …
Persistent link: https://www.econbiz.de/10013428423
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
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In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...
Persistent link: https://www.econbiz.de/10011419593
Determining whether a data set contains one or more outliers is a challenge commonly faced in applied statistics. This paper introduces a distribution-free test for multiple outliers in data drawn from an unknown data generating process. Besides, a sequential algorithm is proposed in order to...
Persistent link: https://www.econbiz.de/10009695964
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