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Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)

Mariano, Roberto S.; Ozmucur, Suleyman - 2020

nowcasting Philippine inflation, real GDP growth, and other related macroeconomic variables. It focuses on variations of mixed …

Persistent link: https://www.econbiz.de/10014094788

Short and long run causality measures: theory and inference

Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at a given horizon h, and causality up to any given horizon h [Dufour and Renault (1998)]. This generalization...

Persistent link: https://www.econbiz.de/10005111024

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Persistent link: https://www.econbiz.de/10005100843

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

A conversation with Katarina Juselius

Jusélius, Katarina (interviewee); … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355175

Economic theory and econometric dynamics in modelling wages and prices in the United Kingdom

Fisher, Paul G.; BÅrdsen, Gunnar - In: Empirical Economics 24 (1999) 3, pp. 483-507

We show that a "competing claims" model of imperfect competition can explain the movements of wages and prices in the United Kingdom, using quarterly data covering 1976-93. We argue that careful attention both to economic theory and to the interaction between dynamics and identification is...

Persistent link: https://www.econbiz.de/10005382262

The Exchange Rate and Two Price Inflations in Poland in the Period 1999-2009. Do Globalization and Balassa-Samuelson Effect Matter?

Kelm, Robert - In: Central European Journal of Economic Modelling and … 2 (2010) 4, pp. 315-349

Poland, having to fulfil five Maastricht criteria, makes the dependence of her domestic inflation on price increases in the … Polish zloty / euro exchange rate and inflation in Poland. Because several competing theoretical models describing … for the country-specific features of the consumer and producer price inflation are formulated and verified in the paper. …

Persistent link: https://www.econbiz.de/10009364356

PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate

Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Persistent link: https://www.econbiz.de/10010605226

A Cost-based Empirical Model of the Aggregate Price Determination for the Turkish Economy: A Multivariate Cointegration Approach

Zeren, Fatma; Korap, Levent - In: Panoeconomicus 57 (2010) 2, pp. 173-188

cointegration techniques have been applied to test whether the real data support the a priori model construction. The results reveal … also cannot reject the linear homogeneity of the sum of all the price data as to the domestic inflation. The paper …

Persistent link: https://www.econbiz.de/10008554177