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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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Identification and Estimation Issues in Structural Vector Autoregressions with External Instruments
Angelini, Giovanni - 2018
‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a … the Global Financial Crisis. To do so, we employ two external instruments to identify the real economic activity shock in … a partial shock approach …
Persistent link: https://www.econbiz.de/10012918605
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
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Inflationäre Schocks in Deutschland : eine common trends Analyse
Carstensen, Kai; Hansen, Gerd - In: Jahrbücher für Nationalökonomie und Statistik 224 (2004) 3, pp. 271-291
Persistent link: https://www.econbiz.de/10002190717
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Inflationary shocks in a small monetary model of Germany
Carstensen, Kai; Gottschalk, Jan - 2001
Persistent link: https://www.econbiz.de/10001644194
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Inflationäre Schocks in Deutschland : eine Common Trends Analyse
Carstensen, Kai; Hansen, Gerd - 2001
Persistent link: https://www.econbiz.de/10001644198
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Fundamental problems with nonfundamental shocks
Lütkepohl, Helmut - 2012
Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average...
Persistent link: https://www.econbiz.de/10009579361
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Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, Kevin D. - 2008
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
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Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models
Cavaliere, Giuseppe - 2010
macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank f Johansen (1996 … delivers consistent cointegration rank estimation for general I(1) processes. Finite sample Monte Carlosimulations show the …
Persistent link: https://www.econbiz.de/10013147987
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Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - 2010
macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996 … delivers consistent cointegration rank estimation for general I(1) processes. Finite sample Monte Carlo simulations show the …
Persistent link: https://www.econbiz.de/10014198029