the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction … traditionellen Faktoren wie Kerninflation, Geldpolitik und Konjunktur, berücksichtigen wir auch die ausländische Nachfrage nach US …

relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with …

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … data, the strength of the cointegrating relations, or the cointegration vector(s). The latter property makes it easier to … statistic without being reflected in the asymptotic distribution. Furthermore, a consistent estimator of the cointegration space …

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

estimation. We conclude that using prior information from a standard New Keynesian DSGE model improves the forecast performance …