Showing 1 - 10 of 2,419
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
This paper employs linear and nonlinear unit-root tests to investigate: a) the price dynamics of the home price indices included in the S&P/Case-Shiller Composite10 index, and b) the validity of the “ripple effect,” following the approach outlined in Meen (1999). In general, the findings...
Persistent link: https://www.econbiz.de/10013095148
A standard model-based trend-cycle decomposition of Italian GDP yields a likelihood function that is relatively flat and has two local maxima. A Bayesian estimation of the model identifies output gap and trend components that match the features of the Italian business cycle well. In a bivariate...
Persistent link: https://www.econbiz.de/10013057105
Persistent link: https://www.econbiz.de/10013223934
Persistent link: https://www.econbiz.de/10009697104
Persistent link: https://www.econbiz.de/10012813491
Persistent link: https://www.econbiz.de/10012199981
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355175
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...
Persistent link: https://www.econbiz.de/10010266935