Similar Search Results

Why Most Published Results on Unit Root and Cointegration are False

Luitel, Hari - 2016

The method of cointegration analysis for modeling nonstationary economic time series variables has become a dominant … paradigm in empirical economic research. Critics argue that a cointegration analysis produces results that are, at best …, useless and, at worst, dangerous. In this research, we explain why and how the use of a cointegration analysis in economic …

Persistent link: https://www.econbiz.de/10013004280

Exports and capacity constraints : evidence for several euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2015

We argue that, under certain conditions, firms consider exports as a substitute for domestic demand. Our econometric model for six euro area countries suggests domestic demand and capacity constraints as additional variables for export equations. We apply the exponential and logistic variant of...

Persistent link: https://www.econbiz.de/10011300368

Cointegration and Threshold Adjustment

Enders, Walter; Siklos, Pierre L. - 2001

The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two … consider an application where we test for cointegration between long and short US interest rates. Conventional cointegration … testing (i.e., Engle-Granger, Johansen) concludes that interest rates are not cointegrated while we do find cointegration in …

Persistent link: https://www.econbiz.de/10014145753

Export hysteresis, capacity constraints and uncertainty : a smooth-transition analysis for euro area member countries

Belke, Ansgar; Wagemester, Jan - 2017

We argue that, under certain conditions described by a sunk cost hysteresis model, firms consider exports as a substitute for domestic demand. This is valid also on the macroeconomic level where the switch from the domestic market to the export market and vice versa takes place in a smooth...

Persistent link: https://www.econbiz.de/10011718600

Classical identification: A viable road for data to inform structural modeling

Hammersland, Roger - 2008

This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side...

Persistent link: https://www.econbiz.de/10011968332

Cointegration in Frequency Domain

Levy, Daniel - 2002

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series …

Persistent link: https://www.econbiz.de/10013204725

Global stochastic trends in growth, interest and inflation. Is the post-Bretton-Woods era driven by the Volcker disinflation?

Heinlein, Reinhold; Krolzig, Hans-Martin - 2013

This note aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using an aggregated approach involving the four largest currency blocks. The small global macromodel encompasses aggregated quarterly US, UK, Japanese and Euro Area data for the...

Persistent link: https://www.econbiz.de/10010456964

Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective

Boschi, Melisso - 2007

I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...

Persistent link: https://www.econbiz.de/10012728441

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

Persistent link: https://www.econbiz.de/10012160757

Cointegration in Frequency Domain

Levy, Daniel - Department of Economics, Bar Ilan University - 2002

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series …

Persistent link: https://www.econbiz.de/10008553020