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 …

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900 … theory is not verified in Argentina, since its RER appears as a non-stationary variable, and there is no evidence of … cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short … run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are … formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same …

-called peer group games being non-negative additive games on a permission tree. We provide a polynomial time algorithm for …

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called 'theory consistent hypothetical scenario'. The advantage of such a scenario is that it … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …