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Nonrenewable Resource Prices : Deterministic or Stochastic Trends?
Lee, Junsoo - 2005
In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...
Persistent link: https://www.econbiz.de/10012467192
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On The Behavior of Commodity Prices
Deaton, Angus - 1990
The classical theory of commodity price determination integrates myopic supply and demand on the one hand with competitive storage (speculation) under rational expectations on the other. Taking into account the fact that inventories mist; be non-negative, this paper derives from the theory...
Persistent link: https://www.econbiz.de/10012475591
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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
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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
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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
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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
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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
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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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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/10012457105
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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/10012460479