Narrow search
Showing 1 - 10 of 3,680
Cover Image
A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014
This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...
Persistent link: https://www.econbiz.de/10010418272
Cover Image
Generic Identifiability for REMIS : The Case of Cointegrated Unit Root VAR
Gersing, Philipp; Sögner, Leopold; Deistler, Manfred - 2022
The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...
Persistent link: https://www.econbiz.de/10013293633
Cover Image
Self-Generating Variables in a Cointegrated VAR Framework
Granger, C. W. J.; Yoon, Gawon - 2001
A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...
Persistent link: https://www.econbiz.de/10014133086
Cover Image
Outlier Robust Cointegration Analysis
Franses, Philip Hans; Lucas, André - 1998
Standard unit root tests and cointegration tests are sensitive to atypical events such as outliers and structural … breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis … based on real-life data to show that OLS-based cointegration tests can spuriously indicate stationarity …
Persistent link: https://www.econbiz.de/10014073583
Cover Image
Are bitcoin prices isolated or co-integrated?
Vyas, Vishal; Mehta, Kiran; Sharma, Renuka - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 5-19
Persistent link: https://www.econbiz.de/10014388694
Cover Image
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
Cover Image
Money-multiplier shocks
Benati, Luca; Ireland, Peter N. - 2017
Persistent link: https://www.econbiz.de/10011712889
Cover Image
What drives money velocity?
Benati, Luca - 2017
Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...
Persistent link: https://www.econbiz.de/10011824316
Cover Image
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
Cover Image
A new approach to estimating the natural rate of interest
Benati, Luca - 2022
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 (1994a) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10013362282