Showing 61 - 70 of 85
The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend...
Persistent link: https://www.econbiz.de/10005749590
This paper performs a system cointegration analysis of UK money demand based on real money, real income, the opportunity cost of holding money, and inflation for the period 1873 - 2001. As a novelty we account for the effect of the world wars by estimating additive data corrections, allowing...
Persistent link: https://www.econbiz.de/10005749704
This paper presents the likelihood ratio (LR) test for the number of cointegrating and multi-cointegrating relations in the I(2) vector autoregressive model. It is shown that the asymptotic distribution of the LR test for the (multi-) cointegration ranks is identical to the asymptotic...
Persistent link: https://www.econbiz.de/10005749771
Estimated characteristic roots in stationary autoregressions are shown to give rather noisy information about their population equivalents. This is remarkable given the central role of the characteristic roots in the theory of autoregressive processes. In the asymptotic analysis the problems...
Persistent link: https://www.econbiz.de/10005749777
Relationships between the Federal funds rate, unemployment, inflation, and the long-term government-bond rate are investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment, and the bond rate. This relationship is...
Persistent link: https://www.econbiz.de/10005750013
We analyse a cointegrated VAR comprising UK data on consumer prices, unit labour costs, import prices and real consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation of the system to one comprising inflation and relative...
Persistent link: https://www.econbiz.de/10005549191
The effects of innovational outliers and additive outliers in cointegrated vector autoregressions are examined and it is analyzed how outliers can be modelled with dummy variables. Using a Monte Carlo simulation it is illustrated how misspecified dummies may distort inference on the...
Persistent link: https://www.econbiz.de/10005225451
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...
Persistent link: https://www.econbiz.de/10005225482
The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend...
Persistent link: https://www.econbiz.de/10005276471
Persistent link: https://www.econbiz.de/10005175183