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Identificación de series con tendencias comunes para mejorar las previsiones de agregados
Bujosa, Marcos; Garcia-Hiernaux, Alfredo - Facultad de Ciencias Económicas y Empresariales, … - 2013
Espasa and Mayo-Burgos (2013) provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do this, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some...
Persistent link: https://www.econbiz.de/10011162553
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Symmetry and Separability in Two-Country Cointegrated VAR Models: Representation and Testing
Krolzig, Hans-Martin; Heinlein, Reinhold - School of Economics, University of Kent - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010859415
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The pairwise approach to model a large set of disaggregates with common trends
Carlomagnol, Guillermo; Espasa, Antoni - Departamento de Estadistica, Universidad Carlos III de … - 2014
The objective of this paper is to model and forecast all the components of a macro orbusiness variable. Our contribution concerns cases with a large number (hundreds) ofcomponents where multivariate approaches are not feasible. We extend in several directions the pairwise approach originally...
Persistent link: https://www.econbiz.de/10010861879
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Do Emissions and Income Have a Common Trend? A Country-Specific, Time-Series, Global Analysis, 1970-2008
Paruolo, Paolo; Murphy, Ben; Janssen-Maenhout, Greet - Rimini Centre for Economic Analysis (RCEA) - 2012
This paper uses Vector Autoregressions that allow for nonstationarity and cointegration to investigate the dynamic …
Persistent link: https://www.econbiz.de/10010551746
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Cointegration and common trends on the West German labour market
Carstensen, Kai; Hansen, Gerd - In: Empirical Economics 25 (2000) 3, pp. 475-493
In this paper we analyze the West German labour market by means of a cointegrated structural VAR model. We find sensible stable long-run relationships that are interpreted as a labour demand, a wage setting and a goods market equilibrium. In order to study the dynamic behaviour of the model we...
Persistent link: https://www.econbiz.de/10005758460
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European common stochastic long-run trends
Reppas, Panagiotis; Tsionas, Efthymios; Christopoulos, … - In: Journal of Economics 74 (2001) 2, pp. 119-130
Persistent link: https://www.econbiz.de/10005715417
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Asymptotic standard errors for common trends linear combinations in I(2) VAR systems
Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria
This paper provides asymptotic standard errors for the moving average (MA) impact matrix for the second differences of a vector autoregressive (VAR) process integrated of order 2,I(2). Standard errors of the row space of the MA impact matrix are also provided; bases of this row space define the...
Persistent link: https://www.econbiz.de/10005771899
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A New Look at Panel Testing of Stationarity and the PPP Hypothesis
Bai, Jushan; Ng, Serena - Department of Economics, Boston College - 2001
This paper uses a decomposition of the data into common and idiosyncratic components to develop procedures that test if these components satisfy the null hypothesis of stationarity. The decomposition also allows us to construct pooled tests that satisfy the cross-section independence assumption....
Persistent link: https://www.econbiz.de/10005027833
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Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and her Trading Partners, 1950 - 1992
Giles, David EA - In: The Journal of International Trade & Economic Development 14 (2005) 1, pp. 93-114
Using historical time-series data, we test for convergence and common trends in real per capita output for New Zealand and her four major trading partners. Both bivariate and multivariate time-series methods are used, and we also implement the fuzzy c-means clustering algorithm as a new method...
Persistent link: https://www.econbiz.de/10005463006
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The cause of Danish unemployment: Demand or supply shocks?
Warne, Anders; Hansen, Henrik - In: Empirical Economics 26 (2001) 3, pp. 461-486
We study the Danish unemployment experience 1905-92 using a common trends model with cointegration constraints. To … justify the identifying assumptions about the cointegration vectors and the common trends we present a simple macroeconomic … product and real consumer wages. The empirical results give support for three cointegration relations and two common trends …
Persistent link: https://www.econbiz.de/10005612925