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Co-movements of the Indian stock market
Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59
Persistent link: https://www.econbiz.de/10011398114
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Testing for common cyclical features in var models with cointegration
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
Persistent link: https://www.econbiz.de/10011398127
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Permanent and transitory shocks in the presence of asymmetric error correction
Chan, F.; McDonald, Garry A. - In: Applied economics 47 (2015) 25/27, pp. 2642-2648
Persistent link: https://www.econbiz.de/10010519640
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10009786715
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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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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193
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Dimensions of globalisation and economic growth of India : exploring causal linkages
Verma, Balraj; Srivastava, Amit - In: International journal of economic policy in emerging … 15 (2022) 2/4, pp. 197-213
Persistent link: https://www.econbiz.de/10013253406
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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Cointegration and structure in Norwegian wage-price dynamics
Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics : open access journal 8 (2020) 3/29, pp. 1-15
leader. We estimate a model of wage formation in manufacturing and in two other sectors. Deciding cointegration rank is an … cointegration analysis provides evidence that collective wage negotiations in manufacturing have defined wage norms for the rest of …
Persistent link: https://www.econbiz.de/10012265703
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The linear systems approach to linear rational expectations models
Sadoon, Majid M. al- - 2016 - This version November 2016
Persistent link: https://www.econbiz.de/10011590194