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Comparison of M3 and Divisia M3 aggregates for the euro area
Reimers, Hans-Eggert - In: Contributions to modern econometrics : from data …, (pp. 169-183). 2002
Persistent link: https://www.econbiz.de/10001905256
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Analysing divisia aggregates for the euro area
Reimers, Hans-Eggert - 2002
In this paper, different Divisia monetary aggregates for the euro area are constructed over the period from 1980 to 2000. Theoretically, one main difference of these aggregates is their reaction to exchange-rate variations. Empirically, the aggregates are compared with respect to three issues....
Persistent link: https://www.econbiz.de/10001673481
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Analysing divisia aggregates for the Euro area
Reimers, Hans-Eggert - 2002
In this paper, different Divisia monetary aggregates for the euro area are constructed over the period from 1980 to 2000. Theoretically, one main difference of these aggregates is their reaction to exchange-rate variations. Empirically, the aggregates are compared with respect to three issues....
Persistent link: https://www.econbiz.de/10011431510
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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
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The causal role of money in cointegrated systems for West Germany
Reimers, Hans-Eggert - 1990
Persistent link: https://www.econbiz.de/10000797664
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009
regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity … suggested model is shown to deliver forecasts that are more precise compared to competing models. -- Cointegration ; electricity …
Persistent link: https://www.econbiz.de/10003872445
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Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968607
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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