A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

We analyze if and to what extent fundamental macroeconomic factors, temporary influencesor more structural factors have contributed to the low levels of US bond yields over the lastfew years. For that purpose, we start with a general model of interest rate determination. Theempirical part...

We show that the power of the KPSS-test against inte-gration, as measured by divergence rates of the test statistic underthe alternative, remains the same when residuals from an OLS-regression rather than true observations are used.[...]

The aim of this paper is to analyze the hypotheses of German dominanceand asymmetry in the European Monetary System (EMS).Weuse monthly data for British, Dutch, French, German, Italian, Spanishand US interest rates from January 1979 to the second half of 1997. Inparticular, we test the stability...

The study concentrates on the relationship between disaggregate energy consumption and industrial output in Pakistan by utilizing the Johansen Method of Cointegration. The results confirm the positive effect of disaggregate energy consumption on industrial output. Furthermore, bidirectional...

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample...

Nowadays many developing countries focus on economic policies for promoting international tourism and exports expansion as a potential source of economic growth of the country. However, the understanding of the relationship between exports and economic growth is still ongoing. When treating the...

In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the...