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Persistent link: https://www.econbiz.de/10009581104
Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating...
Persistent link: https://www.econbiz.de/10009630541
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
We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...
Persistent link: https://www.econbiz.de/10009614295
Persistent link: https://www.econbiz.de/10009621411
We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...
Persistent link: https://www.econbiz.de/10009612016
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
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … econometric analyses. -- Cointegration ; structural break ; vector autoregressive process ; error correction model …
Persistent link: https://www.econbiz.de/10009614873
following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …
Persistent link: https://www.econbiz.de/10009614880
This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....
Persistent link: https://www.econbiz.de/10009616775