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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10005137044
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011257374
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008
the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great …
Persistent link: https://www.econbiz.de/10011255775
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>
Persistent link: https://www.econbiz.de/10011255853
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2008
the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great …
Persistent link: https://www.econbiz.de/10005450792
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of
Persistent link: https://www.econbiz.de/10008838546
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Measures of Contributions to Price Discovery: A Comparison
Jong, Frank de - Tinbergen Institute - 2001
This note clarifies the relation between two competing definitions of the contribution to price discovery in market microstructure models: (i) the information share and (ii) the common factor component weight. It is demonstrated that the two measures are closely related, but that only the...
Persistent link: https://www.econbiz.de/10005282007
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010
) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …
Persistent link: https://www.econbiz.de/10011256713
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Measures of Contributions to Price Discovery: A Comparison
Jong, Frank de - Tinbergen Instituut - 2001
This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only...
Persistent link: https://www.econbiz.de/10011257344