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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999
Persistent link: https://www.econbiz.de/10001412101
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Testing for codependence of cointegrated variables
Trenkler, Carsten; Weber, Enzo - In: Applied economics 45 (2013) 13/15, pp. 1953-1964
Persistent link: https://www.econbiz.de/10009758484
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How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …
Persistent link: https://www.econbiz.de/10010207061
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Is a monetary union feasible for latin america? : evidence from real effective exchange rates and interests rate pass-through levels
McKnight, Stephen; Robles Sánchez, Marco - In: Estudios económicos 29 (2014) 2, pp. 225-262
Persistent link: https://www.econbiz.de/10011521949
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Predicting ERM exchange rates during times of currency turmoils : the 1992 - 1993 crises and fundamentals
Rangvid, Jesper - 1997
Persistent link: https://www.econbiz.de/10000965746
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Exchange rate predictability and monetary fundamentals in a small multi-country panel
Groen, Jan J. J. - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 495-516
Persistent link: https://www.econbiz.de/10003012720
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How Stable are Monetary Models of the Dollar-Euro Exchange Rate? A Time-Varying Coefficient Approach
Beckmann, Joscha; Belke, Ansgar Hubertus; Kuehl, Michael - 2009
(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach …
Persistent link: https://www.econbiz.de/10014201977
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2011
test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the … estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro … starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the …
Persistent link: https://www.econbiz.de/10013132423
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2010
test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the … estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro … starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the …
Persistent link: https://www.econbiz.de/10013136879