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Cointegration analysis with state space models

Wagner, Martin - 2010

Persistent link: https://www.econbiz.de/10003931105

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/10009733805

Tests for cointegration rank and choice of the alternative

Cavaliere, Giuseppe; Fanelli, Luca; Paruolo, Paolo - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 2, pp. 169-191

Persistent link: https://www.econbiz.de/10003858175

Testing for unit roots in panel data using a wavelet ratio method

Li, Yushu; Shukur, Ghazi - In: Computational economics 41 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10009705033

Cointegration analysis with mixed-frequency data

Seong, Byeongchan (contributor); Ahn, Sung K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496561

A new approach to estimating the natural rate of interest

Benati, Luca - 2021

Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...

Persistent link: https://www.econbiz.de/10012520193