Showing 1 - 6 of 6
Many developed countries have suffered from high unemployment rates during the last few decades. Beyond the economic and social consequences of this painful experience, the understanding of the mechanisms underlying unemployment still constitutes an important challenge. Focusing on one of its...
Persistent link: https://www.econbiz.de/10010536386
Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests that this may not be true for the Euro area economy, which has...
Persistent link: https://www.econbiz.de/10010536388
This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, we propose a notion of near...
Persistent link: https://www.econbiz.de/10010536391
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/10010843061
This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly...
Persistent link: https://www.econbiz.de/10010817505
This paper proposes a theoretical explanation to the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization I compute the analytical power of some tests for the null of no cointegration: The ADF test on the residuals of...
Persistent link: https://www.econbiz.de/10010817544