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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

Public expenditure and revenue in Italy, 1862-1993

Magazzino, Cosimo - Volkswirtschaftliche Fakultät, … - 2010

to 1993, using cointegration techniques and the direction of causality relationship in the long and short runs between …

Persistent link: https://www.econbiz.de/10008765920

Functional cointegration: definition and nonparametric estimation

Pitarakis, Jean-Yves - Volkswirtschaftliche Fakultät, … - 2012

We formally define a concept of functional cointegration linking the dynamics of two time series via a functional …

Persistent link: https://www.econbiz.de/10011110617

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

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

Persistent link: https://www.econbiz.de/10010228337

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

approach requires careful specification of the integration and cointegration properties of variables in systems of equations …

Persistent link: https://www.econbiz.de/10012726093

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

Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Eickmeier, Sandra - 2016

In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By...

Persistent link: https://www.econbiz.de/10012991334