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Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity

Pantelidis, Theologos; Pittis, Nikitas - In: Journal of forecasting 28 (2009) 7, pp. 612-630

Persistent link: https://www.econbiz.de/10003902230

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...

Persistent link: https://www.econbiz.de/10009728982

Cointegration, variance shifts and the limiting distribution of the OLS estimator

Kourogenis, Nikolaos; Pittis, Nikitas - In: Economics letters 99 (2008) 1, pp. 103-106

Persistent link: https://www.econbiz.de/10003723250

The Feldstein-Horioka puzzle revisited : a Monte Carlo study

Caporale, Guglielmo Maria; Panopulu, Aikaterinē; … - In: Journal of international money and finance 24 (2005) 7, pp. 1143-1149

Persistent link: https://www.econbiz.de/10003210065

Revisiting the long-run relationship between real exchange rates and real interest differentials : a productivity differential approach

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Ekonomia : the journal of the Cyprus Economic Society 5 (2001) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10002150483

A comparison of autoregressive distributed lag and dynamics OLS cointegration estimators in the case of serially correlated cointegration error

Panopulu, Aikaterinē; Pittis, Nikitas - In: The econometrics journal 7 (2004) 2, pp. 585-617

Persistent link: https://www.econbiz.de/10002463690

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

Persistent link: https://www.econbiz.de/10002068644

Cointegration and joint efficiency of international commodity markets

Hassapis, Christis; Kalyvitēs, Sarantēs; Pittis, Nikitas - In: The quarterly review of economics and finance : journal … 39 (1999) 2, pp. 213-231

Persistent link: https://www.econbiz.de/10001433892

Unit roots and long-run causality : the case of output and financial variables

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1995

Persistent link: https://www.econbiz.de/10000909158

Forward versus reverse regression and cointegration

Christou, Christina; Pittis, Nikitas - In: Economics letters 65 (1999) 2, pp. 157-163

Persistent link: https://www.econbiz.de/10001416521