structural models in the general case where the model might contain more than one permanent structural shock. It provides a …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …

‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a … the Global Financial Crisis. To do so, we employ two external instruments to identify the real economic activity shock in … a partial shock approach …

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the …