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Persistence in macroeconomic time series: Is it a model invariant property?

Caporale, Guglielmo Maria; Pittis, Nikitas - In: REVISTA DE ECONOMÍA DEL ROSARIO (2001)

change in the set of conditioning variables might affect the resulting estimates. We define persistence of a variable as the … invariant to the addition of other conditioning variables only if those variables do not Granger-cause the variable of interest …

Persistent link: https://www.econbiz.de/10005262845

Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?

Heinlein, Reinhold; Krolzig, Hans-Martin - School of Economics, University of Kent - 2011

combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one …

Persistent link: https://www.econbiz.de/10009399655

Firm Investment Behaviour in Germany: An Explanation Based on Seasonal Cointegration Techniques.

Dreger, Christian; Brautzsch, Hans-Ulrich - In: Journal of Economics and Statistics (Jahrbuecher fuer … 219 (1999) 3+4, pp. 284-297

-seasonal adjusted data from 1968 to 1989. The empirical analysis is based on cointegration techniques using the multivariate error … investment series. Given this result, the evidence for cointegration relationships at the seasonal frequencies is rather weak …. However, the cointegration vector obtained at the long run frequency shows, that export growth has a positive influence on …

Persistent link: https://www.econbiz.de/10008596440

Stock market integration: Malaysia and its major trading partners

Abdul Karim, Zulkefly; Abdul Karim, Bakri - Volkswirtschaftliche Fakultät, … - 2008

(1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between …

Persistent link: https://www.econbiz.de/10008740571

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10010837984

Insurance Market Activity and Economic Growth: Evidence from Nigeria

Omoke, Philip Chimobi - In: Asian Economic and Financial Review 1 (2011) 4, pp. 245-253

variables such as inflation and savings rate as other determinants of growth. The Johansen cointegration and vector error …

Persistent link: https://www.econbiz.de/10010839185

Testing for a time-varying price-cost markup in the Euro area inflation process

Bowdler, Christopher; Jansen, Eilev S. - Department of Economics, Oxford University - 2004

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/10010604884

PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate

Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Persistent link: https://www.econbiz.de/10010605226

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …

Persistent link: https://www.econbiz.de/10012886334

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/10012982595