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Common trends and common cycles : Bayesian approach
Wróblewska, Justyna - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 91-110
Persistent link: https://www.econbiz.de/10011429745
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Are US real house prices stationary? : new evidence from univariate and panel data
Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011431067
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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Testing cointegration in quantile regressions with an application to the term structure of interest rates
Kuriyama, Nina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10011507436
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Testing for linearity in regressions with I(1) processes
Arai, Yoichi - In: Hitotsubashi journal of economics 57 (2016) 1, pp. 111-138
Persistent link: https://www.econbiz.de/10011522367
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Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002
investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10011409009
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Determinants of export growth rate : the case of Madagascar
Tovonjatovo, Seraphin; Dong, Yinguo - In: International journal of economics and finance 7 (2015) 9, pp. 105-111
Persistent link: https://www.econbiz.de/10011346663
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The profitability of contrarian stock pairs identified using a partial adjustment model : an evaluation of Chinese and Australian stocks
Abraham, Santosh Mon - In: International journal of economics and finance 5 (2013) 11, pp. 82-94
Persistent link: https://www.econbiz.de/10010221327
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How reliable are cointegration-based estimates for wealth effects on consumption? : evidence from Switzerland
Galli, Alain - 2016
Persistent link: https://www.econbiz.de/10011456230
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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012138849