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Money demand in the Yugoslavian hyperinflation 1991-1994

Nielsen, Bent - Department of Economics, Oxford University - 2004

Empirical analyses of Cagan`s money demand schedule have broadly speaking suffered from the following problems: (i) Inability to model the data to the end of the hyperinflation. (ii) Difficulties in making congruent models for systems of variables. (iii) Discrepancies between estimated and...

Persistent link: https://www.econbiz.de/10010605193

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2014

We consider cointegration tests in the situation where the cointegration rank is decient. This situation is of interest … in nite sample analysis and in relation to recent work on identication robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10010936519

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

Nielsen, Bent - In: Econometric Reviews 23 (2004) 1, pp. 1-23

This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a Gaussian vector …

Persistent link: https://www.econbiz.de/10009228548

Analysis of co-explosive processes

Nielsen, Bent - Department of Economics, Oxford University - 2005

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

Persistent link: https://www.econbiz.de/10010604868

Short-run parameter changes in a cointegrated vector autoregressive model

Nielsen, Bent; Kurita, Takamitsu - Department of Economics, Oxford University - 2004

This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where … test statistic for cointegration rank is based on reduced rank regression and has the usual asymptotic distribution. An …

Persistent link: https://www.econbiz.de/10010604907

Asymptotic properties of least square statistics in general vector autoregressive models

Nielsen, Bent - Department of Economics, Oxford University - 2001

A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the...

Persistent link: https://www.econbiz.de/10010604908

Cointegration analysis in the presence of structural breaks in the deterministic trend

Nielsen, Bent; Johansen, Soren; Mosconi, Rocco - Department of Economics, Oxford University - 2000

. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a … cointegration model with piecewise linear trend and known break points. Within this model it is possible to test cointegration rank …

Persistent link: https://www.econbiz.de/10010605048