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Cointegration and structure in Norwegian wage-price dynamics

Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics 8 (2020) 3, pp. 1-15

leader. We estimate a model of wage formation in manufacturing and in two other sectors. Deciding cointegration rank is an … cointegration analysis provides evidence that collective wage negotiations in manufacturing have defined wage norms for the rest of …

Persistent link: https://www.econbiz.de/10012696292

ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")

JONDEAU, Eric; BIHAN, Hervé LE - EconWPA - 2003

Many macroeconomic models (including the NKPC - "New Keynesian" Phillips Curve) involve hybrid equations, in which some variables depend on both their lags and leads. Hybrid models have produced conflicting empirical results: GMM (respectively ML) estimation find the forward- looking component...

Persistent link: https://www.econbiz.de/10005062538

ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")

JONDEAU, Eric; BIHAN, Herve LE - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005119217

Formula I(1) and I(2): Race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011995197

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011995230

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, H. Peter; Paruolo, Paolo - In: Econometrics 5 (2017) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011995238

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics 7 (2019) 1, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10012696221

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics 8 (2020) 3, pp. 1-28

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Persistent link: https://www.econbiz.de/10012696293

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011755321

Unit root tests: The role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011755326

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