This paper addresses the problem of measuring the speed of adjustment of exchange rates and relative prices to purchasing power parity (PPP), in the multivariate context of Vector Autoregressive Processes (VAR). We consider the speed of adjustment of one variable y in response to another...

This paper discusses common cycles in I(1) vector autoregressive (VAR) systems, both for the first di¤erences of the process and for deviations from equilibrium. This extension is based on the equilibrium dynamics representation of I(1) systems, which is presented in this paper. Inference on...

This paper proposes a likelihood ratio test for rank-dficiency of a sub- matrix of the cointegrating matrix. Special cases of the test include the one of invalid normalization in systems of cointegrating equations, the feasibility of permanent-transitory decompositions and of subhypotheses...

This note discusses the (dis-)similarities between automated inference and computer-aided decisions, at the interface of econometrics and economics. It is argued that computer-aided decisions are best suited for scientific communication. For the future, the topic of learning is singled out as...

This paper presents cointegration tests in the integration indices (II) in cointegrated (CI) vector autoregressive processes (VAR). The statistical analysis is performed under the assumption that some variables are weakly exogenous with respect to the (multi-)cointegration parameters, a...

This paper condiders likelihood ratio (LR) cointegration rank tests in vector autoregressive models (VAR); the local power of the most widely used LR 'trace' test is compared with the LR 'lambda max' test. It is found that neither test uniformily dominates the other one. Moreover it is shown...

This paper discusses serial correlation common features, CF, and integration of order 2, I(2), in VAR systems. The interplay of the CF restrictions and the I(2) conditions is discussed both for full VAR systems and for conditional systems with no levels and difference feedback, NF. Several...

This paper derives standard errors for Monte Carlo (MC) estimators of (relative) power of tests when the critical values under the null have also been estimated. This situation is common e.g. in unit root and cointegration tests. The associated issue of MC design is discussed. The results are...

This paper provides asymptotic standard errors for the moving average (MA) impact matrix for the second differences of a vector autoregressive (VAR) process integrated of order 2,I(2). Standard errors of the row space of the MA impact matrix are also provided; bases of this row space define the...

Ways of improving the efficiency of Monte-Carlo (MC) techniques are studied for dynamic models. Such models cause the conventional Antithetic Variate (AV) technique to fail, and will be proved to reduce the benefit from using Control Variates with nearly nonstationary series. This paper suggests...