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Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand
Hungnes, Håvard - 2001
. Consumption and money demand applications illustrate the method. …
Persistent link: https://www.econbiz.de/10011968079
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Identifying Structural Breaks in Cointegrated VAR Models
Hungnes, Håvard - 2005
The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect...
Persistent link: https://www.econbiz.de/10011968192
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Identifying Structural Breaks in Cointegrated VAR Models
Hungnes, Håvard - Statistisk Sentralbyrå, Government of Norway - 2005
The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect...
Persistent link: https://www.econbiz.de/10004980955
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Estimation of a German money demand system - a long-run analysis
Hubrich, Kirstin - In: Empirical Economics 24 (1999) 1, pp. 77-99
This study presents a multivariate analysis of the stability of long-run relationships between variables that influence the conduct and transmission process of the German monetary policy. The initial VAR comprises the variables real money M3, real GNP, the inflation rate, a long-term and a...
Persistent link: https://www.econbiz.de/10005382393
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Estimation of a German Money Demand System - a Long-Run Analysis
Hubrich, Kirstin - 1999
This study presents a multivariate analysis of the stability of long-run relationships between variables that influence the conduct and transmission process of the German monetary policy. The initial VAR comprises the variables real money M3, real GNP, the inflation rate, a long-term and a...
Persistent link: https://www.econbiz.de/10014200449
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SPURIOUS REGRESSION AND COINTEGRATION. NUMERICAL EXAMPLE: ROMANIA’S M2 MONEY DEMAND
Ruxanda, Gheorghe; Botezatu, Andreea - In: Journal for Economic Forecasting 5 (2008) 3, pp. 51-62
Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of...
Persistent link: https://www.econbiz.de/10005772652
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Modeling the Demand for Currency Issued in Turkey
Akinci, Ozge - In: Central Bank Review 3 (2003) 1, pp. 1-25
The purpose of this study is to investigate the empirical relationship between real money balances, real income, and the opportunity cost variables in Turkey using quarterly data between the periods 1987Q1-2003Q3. The estimation results reveal that long run demand for real cash balances depends...
Persistent link: https://www.econbiz.de/10005667146
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, Andre K.; Nymore, Ragnar - 2015
the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …
Persistent link: https://www.econbiz.de/10011335600
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …
Persistent link: https://www.econbiz.de/10010531814
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Did Us Consumers "Save for a Rainy Day" Before the Great Recession?
Anundsen, André K.; Nymoen, Ragnar - 2015
the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …
Persistent link: https://www.econbiz.de/10012143864