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On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity

Andersson, Björn - 1999

. Saving and GDP are estimated in bivariate vector autoregressive or vector error-correction models for Sweden, UK, and USA …

Persistent link: https://www.econbiz.de/10010321740

The Taylor Rule: A Spurious Regression?

Österholm, Pär - 2003

processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …-of-sample forecast exercise, suggest that we should have serious doubts about the Taylor rule as a reasonable description of how monetary …

Persistent link: https://www.econbiz.de/10010321545

What Determines Real Exchange Rates? The Nordic Countries

Bergvall, Anders - 2002

variance in the real exchange rate for Finland and Sweden. …

Persistent link: https://www.econbiz.de/10010321757

Testing Wagner's law at different stages of economic development: A historical analysis of five Western European countries

Kuckuck, Jan - 2012

economic development for five industrialized European countries: the United Kingdom, Denmark, Sweden, Finland and Italy. In … individual stages of income development and apply advanced cointegration and vector error correction analyses. In line with …

Persistent link: https://www.econbiz.de/10010289312

The Q theory and the Swedish housing market - an empirical test

Berg, Lennart; Berger, Tommy - 2005

Sweden as a result of changes in policy during the end of the 1980s and beginning of the 1990s. The used investment theory is …

Persistent link: https://www.econbiz.de/10010321620

Spurious correlation in estimation of the health production function: A note

Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009

In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...

Persistent link: https://www.econbiz.de/10010315553

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Persistent link: https://www.econbiz.de/10010316827

Structural changes in the cointegrated vector autoregressive model

Hansen, Peter Reinhard - 2001

This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the...

Persistent link: https://www.econbiz.de/10010318949

Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

wide range of forecast horizons and allow for estimated as well as theoretically specified cointegrating relationships in … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC … models for forecasting, and helps to explain previous findings of the failure of VEC models to forecast better than VAR …

Persistent link: https://www.econbiz.de/10010263217

Can common stocks provide a hedge against inflation? Evidence from African countries

Alagidede, Paul; Panagiotidis, Theodore - 2010

markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …

Persistent link: https://www.econbiz.de/10010273656