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Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011781891
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On the determinants of the inflation rate in Colombia: a disequilibrium market approach
Otero, Jesus; Ramirez, Manuel - UNIVERSIDAD DEL ROSARIO - 2002
We investigate the inflation rate in Colombia in terms of excess money, excess demand, deviations from PPP, and wage … inflation. In contrast to previous results for a group of industrial economias, we find that domestic factors are a far more … powerful influence on inflation than are external factors. We also find evidence of non-linear price behavior in response to …
Persistent link: https://www.econbiz.de/10005262997
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Formula I(1) and I(2): Race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011995197
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Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A. - In: Econometrics 5 (2017) 2, pp. 1-20
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...
Persistent link: https://www.econbiz.de/10011755375
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Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-20
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...
Persistent link: https://www.econbiz.de/10011654460
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Trend-Stationarity in the I(2) Cointegration Model.
Jørgensen, Clara; Kongsted, Hans Christian; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 1996
A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be...
Persistent link: https://www.econbiz.de/10005749577
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Testing the Nominal-to-Real Transformation.
Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 2002
nominal money and prices to real money and the rate of inflation. This paper establishes the necessary and sufficient … transformation based on I(1) cointegration methods is suggested. It demonstrates good size and power properties in a small …
Persistent link: https://www.econbiz.de/10005225498
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Modelling Inflation in Croatia
Vizek, Maruška; Broz, Tanja - Ekonomski Institut Zagreb - 2007
The aim of this paper is to construct a quarterly inflation model for Croatia. In order to model inflation dynamics se … economic theories of inflation, which are also consistent with the properties of the data. A two step procedure is followed. In … the first step, the long-run sectoral analysis of inflation sources is conducted, yielding long-run determinants of …
Persistent link: https://www.econbiz.de/10005747919
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Detecting Imbalances in House Prices: What Goes up Must Come Down?
Anundsen, André K. - 2016
With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....
Persistent link: https://www.econbiz.de/10012143889
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948