This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The ratio is defined as a measure of the magnitude of a permanent shock relative to a transitory shock. According to Monte Carlo experiments conducted in this paper, a high...

This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of finite-sample statistical inference. Monte Carlo experiments show that, in various circumstances, a mis-specified partial VAR model, which is justified by the existence of a...

This paper investigates the interactions of spot markets for crude oil and regular gasoline in a transatlantic context. A cointegrated vector autoregressive (VAR) system is estimated using weekly time series data for spot prices of representative crude oil and regular gasoline in Europe and the...

This paper estimates a dynamic empirical model for Japan’s business fixed investment. A multivariate cointegration analysis of Japan’s time series data over the past two decades shows that the term spread (the difference between long-term and short-term interest rates) and various diffusion...

The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...