Showing 1 - 10 of 54,765
Persistent link: https://www.econbiz.de/10011398114
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
Persistent link: https://www.econbiz.de/10011398127
Persistent link: https://www.econbiz.de/10010519640
Persistent link: https://www.econbiz.de/10011429745
Persistent link: https://www.econbiz.de/10011431067
Persistent link: https://www.econbiz.de/10011339425
Persistent link: https://www.econbiz.de/10011346663
Persistent link: https://www.econbiz.de/10011313892
Persistent link: https://www.econbiz.de/10010528503
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...
Persistent link: https://www.econbiz.de/10009767620