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Symmetry and separability in two-country cointegrated VAR models : representation and testing

Krolzig, Hans-Martin; Heinlein, Reinhold - 2013

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Persistent link: https://www.econbiz.de/10010228330

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Detecting Long Memory Co-Movements in Macroeconomic Time Series

Moretti, Gianluca - 2008

our procedure to the Johansen-Juselius PPP-UIP database, and unlike the standard case, we do not fail to reject the null …

Persistent link: https://www.econbiz.de/10014223395

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...

Persistent link: https://www.econbiz.de/10012726093

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP … of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for … 77,39 months. Overall, unit root tests show that absolute PPP may hold, but this depends on the country and the selected …

Persistent link: https://www.econbiz.de/10013044515

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The … test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …, during the recent floating exchange rate period, PPP holds well, at least in a weak form, in high-inflation countries where …

Persistent link: https://www.econbiz.de/10014071881

The time series properties of the real exchange rates between the member states of the European Monetary Union

Maurer, Rainer - In: Credit and capital markets : Kredit und Kapital 52 (2019) 2, pp. 149-171

Persistent link: https://www.econbiz.de/10012229937

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...

Persistent link: https://www.econbiz.de/10003867061

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified...

Persistent link: https://www.econbiz.de/10011554319

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and...

Persistent link: https://www.econbiz.de/10011499608

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