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The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

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

On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity

Andersson, Björn - 1999

. Saving and GDP are estimated in bivariate vector autoregressive or vector error-correction models for Sweden, UK, and USA …

Persistent link: https://www.econbiz.de/10010321740

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

volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be …

Persistent link: https://www.econbiz.de/10010325721

Structural breaks, parameter stability and energy demand modeling in Nigeria

Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 129-144

This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene … demand functions using more recent and robust techniques. In addition, the study considers an alternative model specification … which primarily captures the price-income interaction effects on both gasoline and kerosene demand functions. While the …

Persistent link: https://www.econbiz.de/10010289392

The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries

Kamps, Christophe - 2004

The issue of whether government capital is productive has received a great deal of recent attention. Yet, empirical analyses of public capital productivity have been limited to a small sample of countries for which official capital stock estimates are available. Building on a new database that...

Persistent link: https://www.econbiz.de/10010260502

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010303710

Cointegration and the stabilizing role of exchange rates

Alexius, Annika; Post, Erik - 2006

fundamental supply and demand shocks when long run equilibrium relationships between the levels of the variables are included in …

Persistent link: https://www.econbiz.de/10010321604

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