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Cointegration analysis with mixed-frequency data

Seong, Byeongchan (contributor); Ahn, Sung K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496561

Cointegration Analysis with Mixed-Frequency Data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10013317180

Inflation and the divergence of relative prices : evidence from a cointegration analysis

Scharff, Juliane - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 2, pp. 141-158

Persistent link: https://www.econbiz.de/10003525362

Inflation and economic growth link - multi-country scenario

Ahmmed, Monir; Uddin, Md. Nezum; Rafiq, Md. Rafiqul Islam; … - In: International journal of economics and financial issues … 10 (2020) 4, pp. 47-53

Persistent link: https://www.econbiz.de/10012300383

Modeling inflation in Australia

De Brouwer, Gordon J. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 433-449

Persistent link: https://www.econbiz.de/10001251802

Modelling persistence in the conditional mean of inflation using the ARFIMA process with GARCH and GJR-GARCH innovations : the case of Ghana and South Africa

Boateng, Alexander; Lesaoana, Maseka; Siweya, Hlengani; … - In: African review of economics & finance : AREF : (a … 9 (2017) 2, pp. 96-130

Persistent link: https://www.econbiz.de/10011780438

Inflation bias and output growth in Nigeria

Atanda, Mustapha Saidi; Akeem Ade, Nureni-Balogun; … - In: Asian African journal of economics and econometrics 13 (2013) 2, pp. 209-225

Persistent link: https://www.econbiz.de/10010353712

Outlier Detection in Cointegration Analysis

Franses, Philip Hans; Lucas, Andre - 2014

Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper … uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of … that OLS based cointegration can yield spurious cointegration …

Persistent link: https://www.econbiz.de/10014088271

Disentangling the source of non-stationarity in a panel of seasonal data

Hsu, Shih-hsun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012437839

Rethinking the relationship between housing prices and inflation : new evidence from 29 large cities in China

Tang, Jianli; Ye, Kunhui; Qian, Yan - In: International journal of strategic property management 23 (2019) 3, pp. 142-152

Persistent link: https://www.econbiz.de/10013414615

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