The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...

Short answer: It helps a lot when other important variables are excluded from the information set. Longer answer: We revisit claims in the literature that money growth is Granger-causal for inflation at low frequencies. Applying frequency-specific tests in a comprehensive system setup for...

Im vorliegenden Report werden die Erwerbstätigenquoten europäischer Länder untersucht, um Teilzeiteffekte bereinigt und nach Geschlechtern aufgeschlüsselt. Die positive Entwicklung des deutschen Arbeitsmarkts seit 2005 bestätigt sich und ist (beinahe) unabhängig von Teilzeiteffekten....

While recurring and regular variations of weather conditions are implicitly addressed by standard seasonal adjustment procedures of economic time series, extraordinary weather outcomes are not. We propose a way of measuring aggregate abnormal weather conditions based on available local...

As applied cointegration analysis faces the challenge that (a) potentially relevant variables are unobservable and (b) it is uncertain which covariates are relevant, partial systems are often used and potential (stationary) covariates are ignored. Recently it has been argued that a nominally...