Narrow search
Showing 1 - 10 of 199
Cover Image
Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - Tinbergen Instituut - 2014
Accepted for publication in the <I>Journal of Business & Economic Statistics</I>.<P> We consider cointegration rank … estimating the parameters of the model under the null hypothesis of the cointegration rank r=1,2,…,p-1. This step provides … consistent estimates of the order of fractional cointegration, the cointegration vectors, the speed of adjustment to the …
Persistent link: https://www.econbiz.de/10011255793
Cover Image
On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - Tinbergen Instituut - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10011256187
Cover Image
Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011272592
Cover Image
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
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011255775
Cover Image
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
Cover Image
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
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10005450792
Cover Image
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
Cover Image
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
Cover Image
Interaction of Regional Population and Employment
Vermeulen, Wouter; Ommeren, Jos van - Tinbergen Instituut - 2004
We investigate the interaction of regional population and employment in a simu1taneousmodel, allowing for interregional commuting. The proposed dynamic specificationdistinguishes between short-run and equilibrium adjustment effects and it encompassesthe lagged-adjustment specification that is...
Persistent link: https://www.econbiz.de/10011255457
Cover Image
Which Industries are shifting the Beveridge Curve?
Barnichon, Regis; Elsby, Michael; Hobijn, Bart; Sahin, … - Tinbergen Instituut - 2011
The negative relationship between the unemployment rate and the job openings rate, known as the Beveridge curve, has been relatively stable in the U.S. over the last decade. Since the summer of 2009, in spite of firms reporting more job openings, the U.S. unemployment rate has not declined in...
Persistent link: https://www.econbiz.de/10011255728