Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast of the original variable by simply applying the exponential...

In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals...

Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first-difference stationary series, and the ratio of the two to be stationary. However, these assumptions do not match the properties of the data for the last two...

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...

The ECB formulates its policy relying on two-pillars: the monetary pillar and alternative models of inflation. The two-pillars strategy has been seriously criticized and there is a chance that it will be reconsidered at some point in the future. This paper elaborates on this possibility,...

This paper investigates an array of nominal systems for the Russian economy, of domestic price level, import prices, exchange rates, money stock, barter, nominal wages, and output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1995:6-2001:5. The...

This paper is part of a larger project that questions the common notion of similarity in the Polish and Russian stabilization programs, which clearly brought about different results. It investigates an array of nominal systems for the Polish economy, of domestic price level, import prices,...

A small system of German economic variables consisting of the money stock M3, Gross National Product (GNP) and a bond rate is used to illustrate the power of cointegration analysis and the usefulness of some recently developed tools for this kind of analysis. Testing for the cointegrating rank...

In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case when some of the variables are cointegrated. The properties of residual...