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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355167
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A homogeneous approach to testing for granger non-causality in heterogeneous panels
Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - 2020
Persistent link: https://www.econbiz.de/10012610528
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A homogeneous approach to testing for Granger non-causality in heterogeneous panels
Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 93-112
Persistent link: https://www.econbiz.de/10012488894
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A conversation with Katarina Juselius
Jusélius, Katarina (interviewee);  … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355175
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Inequality and macroeconomic factors : a time-series analysis for a set of OECD countries
Maestri, Virginia; Roventini, Andrea - 2012
In this work, we study the short- and long-run properties of different inequality series vis-à-vis the most important macroeconomic series for a set of OECD countries. We employ standard tools of time series macro-econometrics (e.g. stationarity tests, detrending, co-movements analysis,...
Persistent link: https://www.econbiz.de/10009673291
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The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates
Brailsford, Tim - 2016
Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...
Persistent link: https://www.econbiz.de/10013004401
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Revisiting stock market development and economic growth nexus : the moderating role of foreign capital inflows and exchange rates
Mohammad Enamul Hoque; Jakob, Noor Azuddin - In: Cogent economics & finance 6 (2018) 1, pp. 1-17
This study re-examines the stock market development and economic growth nexus. Also, examine the moderating role of foreign capital inflows and exchange rate on the relationship between stock market development and economic growth of Malaysia during 1981–2016. This study applies Granger test,...
Persistent link: https://www.econbiz.de/10011905769
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Revisiting stock market development and economic growth nexus : the moderating role of foreign capital inflows and exchange rates
Mohammad Enamul Hoque; Jakob, Noor Azuddin - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
This study re-examines the stock market development and economic growth nexus. Also, examine the moderating role of foreign capital inflows and exchange rate on the relationship between stock market development and economic growth of Malaysia during 1981–2016. This study applies Granger test,...
Persistent link: https://www.econbiz.de/10011881225
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Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates
Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013
In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in … adapt the framework of Kilian (1998) which estimates the bias in the original parameter estimates using the average bias in … performance evaluated by Monte Carlo simulation methods. Our results show that bootstrap-based bias-correction methods can …
Persistent link: https://www.econbiz.de/10011490238
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Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, Dennis - 2010
In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...
Persistent link: https://www.econbiz.de/10013137281