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Interest rate pass-through : a nonlinear vector error-correction approach

Popiel, Michal Ksawery - 2015

This paper analyzes pass-through from money market rates to consumer retail loan and deposit rates in Canada from 1983 to 2015 using a nonlinear vector error-correction model. In contrast to empirical frameworks used in previous studies, this model permits estimation of long-run pass-through...

Persistent link: https://www.econbiz.de/10011392140

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011517008

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

Fully modified Narrow-Band least squares estimation of weak fractional cointegration

Frederiksen, Per; Nielsen, Morten Ørregaard - 2009

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003919719

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10003919736

Likelihood inference for a fractionally cointegrated vector autoregressive model

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …

Persistent link: https://www.econbiz.de/10003981839

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847

Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …

Persistent link: https://www.econbiz.de/10009621711

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Persistent link: https://www.econbiz.de/10010381431