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Export Diversification, Externalities and Growth
Herzer, Dierk; Nowak-Lehmann D., Felicitas - 2004
function on the basis of annual time series data from Chile. Based on the theory of cointegration three types of statistical …
Persistent link: https://www.econbiz.de/10010291858
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Are exports and imports of Chile cointegrated?
Herzer, Dierk; Nowak-Lehmann D., Felicitas - 2005
unit root tests and cointegration techniques that allow for endogenously determined structural breaks. The results indicate …
Persistent link: https://www.econbiz.de/10010291862
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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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Investment-specific technology shocks and international business cycles: An empirical assessment
Mandelman, Federico S.; Rabanal, Pau; Rubio-Ramírez, … - 2010
In this paper, we first introduce investment-specific technology (IST) shocks to an otherwise standard international real business cycle model and show that a thoughtful calibration of them along the lines of Raffo (2009) successfully addresses the quantity, international comovement,...
Persistent link: https://www.econbiz.de/10010292222
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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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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
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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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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010292798
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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010293966
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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