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Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

Persistent link: https://www.econbiz.de/10014023700

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

Effect of trade shock on inequality, unemployment and inflation in Sub-Saharan Africa

Okoyeuzu, Chinwe; Kalu, Ebere Ume; Ukemenam, Angela Ifeanyi - In: International journal of business and globalisation : IJBG 33 (2023) 4, pp. 514-529

Persistent link: https://www.econbiz.de/10014232830

Are bitcoin prices isolated or co-integrated?

Vyas, Vishal; Mehta, Kiran; Sharma, Renuka - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 5-19

Persistent link: https://www.econbiz.de/10014388694

Empirical evidence on market structure in selected agricultural commodity markets pre- and post-"great recession"

Cartwright, Phillip A. - In: Review of Pacific Basin financial markets and policies … 27 (2024) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10015196958

Heteroskedastic structural vector autoregressions identified via long-run restrictions

Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

Persistent link: https://www.econbiz.de/10015207512

How justified is abandoning money from monetary policy? : evidence from dynamically simulated ARDL

Adil, Masudul Hasan; Hatekar, Neeraj R. - In: Cogent economics & finance 11 (2023) 1, pp. 1-20

study has employed a dynamically simulated autoregressive distributed lag (ARDL) cointegration approach, which shows a well …

Persistent link: https://www.econbiz.de/10014500858

Trade-led growth hypothesis in Cuban commercial regimes since 1960

Matesanz Gómez, David; Álvarez-Ude, Guadalupe Fugarolas; … - In: The economics of transition 19 (2011) 2, pp. 287-304

Persistent link: https://www.econbiz.de/10009154739

Shocks and rigidities as determinants of CEE labour markets' performance : a panel SVECM approach

Bukowski, Maciej; Koloch, Grzegorz; Lewandowski, Piotr - In: The economics of transition 21 (2013) 3, pp. 553-581

Persistent link: https://www.econbiz.de/10010234752

Oil, windfall, public spending and price stability : modelling inflation in Chad

Kinda, Tidiane - In: Applied economics 45 (2013) 19/21, pp. 3122-3135

Persistent link: https://www.econbiz.de/10010192309