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Interest Rate Elasticity of Residential Housing Prices
Iossifov, Plamen; Cihák, Martin; Shanghavi, Amar - International Monetary Fund (IMF) - 2008
We examine the interest rate elasticity of housing prices, advancingthe empirical literature in two directions. First, we take a commonly used cross-country panel dataset and evaluate the housing price equation using a consistent estimator in the presence of endogenous explanatory variables and...
Persistent link: https://www.econbiz.de/10005604881
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New evidence on the relationship beetween crude oil and petroleum product prices
Denni, Mario; Frewer, G. - Dipartimento di Economia, Università degli Studi di Roma 3 - 2006
The present study aims at providing new evidence on the price re- lationships between crude oil and petroleum products. We employ single-equation error correction models (ECM) in which both changes in crude oil price and deviations from the long-run equilibrium are used to explain product price...
Persistent link: https://www.econbiz.de/10005405030
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MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy
Bühn, Andreas; Schneider, Friedrich - CESifo - 2008
differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …
Persistent link: https://www.econbiz.de/10005406427
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Real Equilibrium Exchange Rates: a Panel Data Approach for Advanced and Emerging Economies
Villavicencio, Antonia Lopez - In: Economie Internationale (2006) 108, pp. 59-81
exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration …
Persistent link: https://www.econbiz.de/10005406522
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The switching relationship between natural gas and crude oil prices
Brigida, Matthew - In: Energy Economics 43 (2014) C, pp. 48-55
endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we …
Persistent link: https://www.econbiz.de/10011100134
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Forecasting with factor-augmented error correction models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International Journal of Forecasting 30 (2014) 3, pp. 589-612
-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular …
Persistent link: https://www.econbiz.de/10010786468
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Times Series: Cointegration
Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014
An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...
Persistent link: https://www.econbiz.de/10010940436
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Times Series: Cointegration
Johansen, Søren - School of Economics and Management, University of Aarhus - 2014
An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...
Persistent link: https://www.econbiz.de/10010940882
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Wage-setting and capital in unionized markets: Evidence from South Europe
Kazanas, Thanassis; Miaouli, Natasha - In: Economic Modelling 37 (2014) C, pp. 368-376
The present paper analyzes the optimal response of real wages to the installed capital stock in a dynamic monopoly union. We use data from five Southern European countries during the period 1970–2010. We explore how this rent-extraction response changes over time and across countries depending...
Persistent link: https://www.econbiz.de/10010744026
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On determination of cointegration ranks
Li, Qiaoling; Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2009
that the estimated cointegration vectors are asymptotically normal, and our estimation for the cointegration rank is …We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then …
Persistent link: https://www.econbiz.de/10010746018