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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17

cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

Persistent link: https://www.econbiz.de/10011710948

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

Persistent link: https://www.econbiz.de/10013355167

Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia

Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …

Persistent link: https://www.econbiz.de/10013489691

Testing the New Keynesian model on US and Euro area data

Juselius, Mikael (contributor) - 2008

. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …

Persistent link: https://www.econbiz.de/10003732137

Bridging economic theory models and the cointegrated vector autoregressive model

Framroze Møller, Niels (contributor) - 2008

Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the...