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Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income

Paap, Richard; Dijk, Herman K. van - 1999

expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …

Persistent link: https://www.econbiz.de/10011301165

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

GDP solera : the ideal vintage mix

Almuzara, Martín; Amengual, Dante; Fiorentini, Gabriele; … - 2022

cointegration between the different measures and taking their monthly release calendar seriously. We also combine all existing …

Persistent link: https://www.econbiz.de/10013336360

Persistence, cointegration and aggregation : a disaggregated analysis of output fluctuations in the US economy

Pesaran, M. Hashem; Pierse, Richard G.; Lee, Kevin C. - 1990

Persistent link: https://www.econbiz.de/10000805454

Unit roots, cointegration and structural change

Maddala, Gangadharrao S.; Kim, In-Moo - 1998 - 1. publ.

Persistent link: https://www.econbiz.de/10000655687

Applied aspects of integrated time series : seasonality, measurement errors and common factors

Kuzin, Vladimir - 2007

Persistent link: https://www.econbiz.de/10003633757

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …

Persistent link: https://www.econbiz.de/10003634717

Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression

Hoover, Kevin D.; Johansen, Søren; Jusélius, Katarina - In: The American economic review 98 (2008) 2, pp. 251-255

Persistent link: https://www.econbiz.de/10003730164

Stock markets, current account dynamics, and exchange rate determination

Mercereau, Benoît - 2002

Persistent link: https://www.econbiz.de/10003780033

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

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