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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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The effects of foreign direct investments and economic growth on employment and female employment : a time series analysis with structural breaks for Turkey
Umit, A. Oznur; Alkan, H. Isil - In: International journal of business and economic sciences … 9 (2016) 3, pp. 43-49
Carrion-i Silvestre et. al. (2009) unit root test with multiple structural breaks and the cointegration relationship between … variables is tested with Maki (2012) cointegration test with multiple structural breaks. Dynamic ordinary least squares (DOLS …) method is used for estimating cointegration coefficients. Findings – It is revealed with the study that foreign direct …
Persistent link: https://www.econbiz.de/10011593592
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Substitution possibilities for energy in the Italian economy: A general to specific econometric analysis
Morana, Claudio - 1997
for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the …
Persistent link: https://www.econbiz.de/10011608366
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On the use of multivariate cointegration analysis in residential energy demand modelling
Madlener, Reinhard - 1996
The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of … traditional VAR model in first differences investigated as a rival model. -- energy demand elasticities ; cointegration ; system …
Persistent link: https://www.econbiz.de/10009697459
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Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - 2008
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295280
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Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295321
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10003727673
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Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …
Persistent link: https://www.econbiz.de/10009614880
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Fractional integration and the dynamics of UK unemployment
Gil-Alaña, Luis A.; Henry, S. G. B. - 2000
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...
Persistent link: https://www.econbiz.de/10009582384
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Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels
Sender, Samuel J. - 2017
We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...
Persistent link: https://www.econbiz.de/10012970628