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Extracting information from the data : a popperian view on empirical macro

Jusélius, Katarina (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002706132

Optimal hedging with the Vector Autoregressive model

Gatarek, Lukasz; Johansen, Søren - 2014

with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …

Persistent link: https://www.econbiz.de/10010244526

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011517008

Dynamics of obesity in Finland

Halicioglu, Ferda - In: Journal of economic studies 40 (2013) 5, pp. 644-657

Persistent link: https://www.econbiz.de/10010209607

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

A multivariate causality analysis of export and growth for Turkey

Halicioglu, Ferda - 2008

testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms …

Persistent link: https://www.econbiz.de/10011523113

The financial development and economic growth nexus for Turkey

Halicioglu, Ferda - 2008

1968 to 2005. The bounds testing approach to cointegration is conducted to establish the existence of a long …

Persistent link: https://www.econbiz.de/10011523134

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

Persistent link: https://www.econbiz.de/10013355167

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms

Johansen, Søren; Swensen, Anders Rygh - 2003

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

Persistent link: https://www.econbiz.de/10011968118