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An Application of an Error Correction Model with Higher Order Cointegrated Variables to the Demand for Money in Switzerland

Krishnakumar, Jaya; Gueye, El-Hadji - Institut d'Economie et Econométrie, Université de Genève - 1998

This paper applies the maximum likelihood technique to estimate the parameters of a money demand equation for Switzerland in which there are variable integrated of different orders and in particular of order greater than 1. The estimation method developed by the authors has been explained in...

Persistent link: https://www.econbiz.de/10005075688

Maximum Likelihood Estimation of Cointegrated Systems with Higher Order Integrated Variables and Asymptotic Equivalence with Generalised Least Squares

Krishnakumar, Jaya; Gueye, El-Hadji - Institut d'Economie et Econométrie, Université de Genève - 1998

. Unlike the case of I(1) variables, there are various possibilities of cointegration in the higher order case, which were … already incroporates the diffrent cointegration restrictions and apply maximum likelihood to estimate the parameters. …

Persistent link: https://www.econbiz.de/10005687146

Bounds Testing Approaches to the Analysis of Long-run Relationships

Pesaran, M. Hashem; Shin, Y.; Smith, R.J. - Faculty of Economics, University of Cambridge - 1999

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

Persistent link: https://www.econbiz.de/10005489331

Testing for Stationarity and Cointegration in an Unobserved Components Framework

Morley, James; Sinclair, Tara M. - Society for Computational Economics - SCE - 2005

While tests for unit roots and cointegration have important econometric and economic implications, they do not always … cointegration than what is currently available (Nyblom and Harvey 2000). This paper develops a new test that nests a partial …

Persistent link: https://www.econbiz.de/10005537467

A General Representation Theorem for Integrated Vector Autoregressive Processes

Franchi, Massimo - Økonomisk Institut, Københavns Universitet - 2006

We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...

Persistent link: https://www.econbiz.de/10005749650

Bounds Testing Approaches to the Analysis of Long Run Relationships

Pesaran, M; Shin, Yongcheol; Smith, Richard J - School of Economics, University of Edinburgh - 2004

This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests...

Persistent link: https://www.econbiz.de/10005750733

Structural analysis of vector error correction models exogenous i(1) variables

Pesaran, M; Smith, R; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004

This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of …

Persistent link: https://www.econbiz.de/10005750747

Testing for the Existence of a Long-Run Relationship

Pesaran, M.H.; Shin, Y.; Smith, R.J. - 1996

This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F - statistic for testing the significance of the lagged levels of the...

Persistent link: https://www.econbiz.de/10005641030

Inference in Possibly Integrated Vector Autoregressive Models: Finite Sample Evidence

Yamada, H.; Toda, H.Y. - Institute of Social and Economic Research (ISER), Osaka … - 1996

This paper deals with hypothesis testing in vector autoregressive (VAR) models that may contain some unit roots. We consider situations in which the researcher's goal is not detecting the presence (absence) of unit roots or their location (i.e. cointegrating relations), but testing some economic...

Persistent link: https://www.econbiz.de/10008602953

A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression

Yamada, H.; Toda, H.Y. - Institute of Social and Economic Research (ISER), Osaka … - 1996

This paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We...

Persistent link: https://www.econbiz.de/10008602968