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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010264545
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Consumption and population age structure
Erlandsen, Solveig; Nymoen, Ragnar - 2004
In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. Despite this, age structure effects are rarely controlled for in...
Persistent link: https://www.econbiz.de/10010284297
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Bierens' and Johansen's method: Complements or substitutes?
Wagner, Martin - 1999
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10010291926
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Cointegrated TFP processes and international business cycles
Rabanal, Pau; Rubio-Ramirez, Juan Francisco; Tuesta, Vicente - 2009
A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that total factor productivity processes for the United States and the rest of the world are...
Persistent link: https://www.econbiz.de/10010292354
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Testing for stationarity in a cointegrated system
Kunst, Robert M. - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10010292762
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Cointegration analysis with state space models
Wagner, Martin - 2010
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …
Persistent link: https://www.econbiz.de/10010294007
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The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
Sibbertsen, Philipp; Krämer, Walter - 2004
is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is …
Persistent link: https://www.econbiz.de/10010296614
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The Taylor Rule: A Spurious Regression?
Österholm, Pär - 2003
processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …
Persistent link: https://www.econbiz.de/10010321545