Similar Search Results

Demanda de dinero y liberalizacion financiera en Mexico: Un enfoque de cointegracion

L. Arnaut, Javier - Volkswirtschaftliche Fakultät, … - 2008

This paper examines the long run dynamics of Mexico’s money demand using Johansen’s cointegration approach with different specifications. The empirical evidence indicates that real balances, real income and the interest rate are cointegrated in all subperiods. The findings suggest that...

Persistent link: https://www.econbiz.de/10005787175

Hot money and economic performance: An empirical analysis

Duasa, Jarita; Kassim, Salina - Volkswirtschaftliche Fakultät, … - 2008

The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the...

Persistent link: https://www.econbiz.de/10005787177

Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity

Lucchetti, Riccardo; Palomba, Giulio - Volkswirtschaftliche Fakultät, … - 2008

Starting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a simple linear rule; another line of...

Persistent link: https://www.econbiz.de/10005787226

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus

We consider statistical inference for multivariate fractionally integrated time series models using a computationally simple conditional likelihood procedure which has recently been shown to be efficient in the univariate case. We show that those results generalize to the present multivariate...

Persistent link: https://www.econbiz.de/10005787495

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...

Persistent link: https://www.econbiz.de/10005787506

First and second order non-linear cointegration models

Lange, Theis - School of Economics and Management, University of Aarhus - 2009

This paper studies cointegration in non-linear error correction models characterized by discontinuous and regime-dependent error correction and variance specifications. In addition the models allow for autoregressive conditional heteroscedasticity (ARCH) type specifications of the variance. The...

Persistent link: https://www.econbiz.de/10005787551

An analysis of the indicator saturation estimator as a robust regression estimator

Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2008

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber's skip...

Persistent link: https://www.econbiz.de/10005787553

Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns

Møller, Stig V. - School of Economics and Management, University of Aarhus - 2007

are strongly negative. In addition, the model accounts for time-varying expected returns on stocks. Forecasting … regressions show that the estimated surplus con- sumption ratio has strong forecasting power for future real stock returns and … holds additional explanatory power relative to traditional financial forecasting variables such as the dividend yield. We …

Persistent link: https://www.econbiz.de/10005787554

Risk, Jumps, and Diversification

Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George - School of Economics and Management, University of Aarhus - 2007

We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic. Common jumps affect all stocks, albeit to varying...

Persistent link: https://www.econbiz.de/10005787560

Measuring Business Cycles with Business-Cycle Models

Gregory, Allan W.; Smith, Gregor W. - Economics Department, Queen's University - 1994

Business cycles may be defined or measured by parametrizing detrending filters to maximize the ability of a business-cycle model to match the moments of the remaining cycles. Thus a theory can be used to guide cycle measurement. We present two applications to U.S. postwar data. In the first...

Persistent link: https://www.econbiz.de/10005787733