Narrow search
Showing 1 - 10 of 49
Cover Image
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010
to the impact of the estimated cointegration relations. With respect to testing, this makes implementation of testing …
Persistent link: https://www.econbiz.de/10008677954
Cover Image
Autoregressive conditional root model
Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002
In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...
Persistent link: https://www.econbiz.de/10010604833
Cover Image
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Granger Centre for Time Series Econometrics, School of … - 2007
of the underlying multivariate volatility process which impacts on both the size and power of the associated co-integration …
Persistent link: https://www.econbiz.de/10008497819
Cover Image
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2009
limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical …
Persistent link: https://www.econbiz.de/10004994214
Cover Image
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application
Kurita, Takamitsu; Nielsen, Heino Bohn; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 2009
limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical …
Persistent link: https://www.econbiz.de/10005014886
Cover Image
Autoregressive conditional root model
Rahbek, Anders; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001
In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...
Persistent link: https://www.econbiz.de/10005730387
Cover Image
Trend-Stationarity in the I(2) Cointegration Model.
Jørgensen, Clara; Kongsted, Hans Christian; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 1996
A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be...
Persistent link: https://www.econbiz.de/10005749577
Cover Image
Weak exogeneity in I(2) VAR systems
Paruolo, Paolo; Rahbek, Anders - In: Journal of econometrics 93 (1999) 2, pp. 281-308
Persistent link: https://www.econbiz.de/10001406658
Cover Image
Trend stationarity in the I(2) cointegration model
Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, … - In: Journal of econometrics 90 (1999) 2, pp. 265-289
Persistent link: https://www.econbiz.de/10001382131
Cover Image
Stationary and asymptotics of multivariate ARCH time series with an application to robustness of cointegration analysis
Hansen, Ernst; Rahbek, Anders - 1998
Persistent link: https://www.econbiz.de/10001369614