pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch …

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …

model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range … simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk conditions for U.S. Moody …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …