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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

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

The long run, market power and retail pricing

Jumah, Adusei - 2000

The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers … Johansen cointegration technique as a tool capable of analysing both competitive and imperfect market situations is also …

Persistent link: https://www.econbiz.de/10010292406

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

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

Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria

Fernández-Amador, Octavio; Baumgartner, Josef; … - 2010

We assess empirically the vertical price transmission mechanism between producer and consumer prices of milk products in Austria using monthly data for the period from January 1996 to February 2010. We consider explicitly the existence of asymmetries in the adjustment to the long-run equilibrium...

Persistent link: https://www.econbiz.de/10010294789

Economists, Incentives, Judgment, and Empirical Work

Colander, David C. - 2008

This paper asks the question: Why has the ?general-to-specific? cointegrated VAR approach as developed in Europe had only limited success in the US as a tool for doing empirical macroeconomics, where what might be called a ?theory comes first? approach dominates? The reason this paper highlights...

Persistent link: https://www.econbiz.de/10010295269

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - 2008

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10010295280

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26

Persistent link: https://www.econbiz.de/10010295321

Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy

Knetsch, Thomas A. - 2005

-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend …

Persistent link: https://www.econbiz.de/10010295784

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