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Persistent link: https://www.econbiz.de/10000967507
actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector …
Persistent link: https://www.econbiz.de/10013224861
estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following … requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a …
Persistent link: https://www.econbiz.de/10013236694
actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector …
Persistent link: https://www.econbiz.de/10012471881
estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following … requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a …
Persistent link: https://www.econbiz.de/10012472881
We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...
Persistent link: https://www.econbiz.de/10001597629
Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the U.S. are found to share some common long-term and short-term cyclical variations. While the Hong Kong economy is susceptible to external shocks and Granger-caused by the other two economies,...
Persistent link: https://www.econbiz.de/10001590657
Persistent link: https://www.econbiz.de/10001724136
Persistent link: https://www.econbiz.de/10001724371
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...
Persistent link: https://www.econbiz.de/10002521054