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Continuous-Time Linear Models
Cochrane, John H. - 2012
models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …
Persistent link: https://www.econbiz.de/10013104725
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Identification with Imperfect Instruments
Nevo, Aviv; Rosen, Adam M. - 2021
Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...
Persistent link: https://www.econbiz.de/10013311948
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The Econometrics of Ultra-High Frequency Data
Engle, Robert F. - 2021
Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...
Persistent link: https://www.econbiz.de/10013226922
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Low-Frequency Econometrics
Müller, Ulrich K. - 2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10013015106
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Low-Frequency Robust Cointegration Testing
Müller, Ulrich K. - 2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10013156688
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Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.; Engle, Robert F.; Coulson, N. Edward - 2021
This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10013221307
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Are Macroeconomic Forecasts Informative? Cointegration Evidence from the Asa-Nber Surveys
Cheung, Yin-Wong; Chinn, Menzie David - 2021
We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...
Persistent link: https://www.econbiz.de/10013224861
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong; Chinn, Menzie David - 2021
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10013236694
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A Simple Mle of Cointegrating Vectors in Higher Order Integrated Systems
Stock, James H.; Watson, Mark W. - 2021
An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...
Persistent link: https://www.econbiz.de/10013237298
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Estimating Sectoral Cycles Using Cointegration and Common Features
Issler, João Victor; Engle, Robert F. - 2021
output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to …
Persistent link: https://www.econbiz.de/10013227508