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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/10012457105

Modeling Model Uncertainty

Onatski, Alexei - 2003

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...

Persistent link: https://www.econbiz.de/10012469134

Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing

Giovannini, Alberto - 1989

This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences. The first is based on maximum-likelihood estimates, supplemented with an explicit model of time...

Persistent link: https://www.econbiz.de/10012475842

Interpreting Cointegrated Models

Campbell, John Y. - 1988

Error-correction models for cointegrated economic variables are commonly interpreted as reflecting partial adjustment of one variable to another. We show that error-correction models may also arise because one variable forecasts another. Reduced-form estimates of error-correction models cannot...

Persistent link: https://www.econbiz.de/10012476500

Low-Frequency Robust Cointegration Testing

Müller, Ulrich - 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/10012463358

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

Persistent link: https://www.econbiz.de/10012496124

Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys

Cheung, Yin-Wong - 1999

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/10012471881

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

, 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/10012472881

Estimating Sectoral Cycles Using Cointegration and Common Features

Engle, Robert F. - 1993

output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to …

Persistent link: https://www.econbiz.de/10012474413

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

Brown, Scott J. - 1990

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/10012475744

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