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

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 …

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

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 …

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

When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …

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 …

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