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Cointegration and structure in Norwegian wage-price dynamics
Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics : open access journal 8 (2020) 3/29, 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/10012265703
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Asymptotic theory for cointegration analysis when the cointegration rank is deficient
Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, 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/10012025653
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 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/10011945700
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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 : open access journal 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/10011781891
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
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Causal transmission in reduced-form models
Bazinas, Vassilios; Nielsen, Bent - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25
We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...
Persistent link: https://www.econbiz.de/10013355236
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A jackknife correction to a test for cointegration rank
Chambers, Marcus J. - In: Econometrics : open access journal 3 (2015) 2, pp. 355-375
This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …
Persistent link: https://www.econbiz.de/10011297630
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The discovery of long-run causal order : a preliminary investigation
Hoover, Kevin D. - In: Econometrics : open access journal 8 (2020) 3/31, pp. 1-24
The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn …
Persistent link: https://www.econbiz.de/10012265689
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Modeling I(2) processes using vector autoregressions where the lag length increases with the sample size
Li, Yuanyuan; Bauer, Dietmar - In: Econometrics : open access journal 8 (2020) 3/38, pp. 1-28
In this paper the theory on the estimation of vector autoregressive (VAR) models for I(2) processes is extended to the case of long VAR approximation of more general processes. Hereby the order of the autoregression is allowed to tend to infinity at a certain rate depending on the sample size....
Persistent link: https://www.econbiz.de/10012295996