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Public investment and economic activity in Mexico, 1925-1981

Fonseca, Felipe; Gómez-Zaldívar, Manuel; … - 2019

Mexican economic historiography recognizes the key role that public investment played in the country's economic performance from the post-revolutionary period until the beginning of the economic liberalization that began in the mid-1980s. However, there is no concrete empirical evidence that...

Persistent link: https://www.econbiz.de/10011990903

Are bond markets really overpriced : the case of the US

Clostermann, Jörg; Seitz, Franz - 2005

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

Persistent link: https://www.econbiz.de/10012002995

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10012025653

The incidence of insurance on economic growth in Italy, France, United Kingdom and Romania

Costache, Bianca - In: Financial studies 22 (2018) 3, pp. 56-65

This research paper is focused on an important topic in the economic literature, more precisely how the insurance sector impacts the overall economic growth. The objective of the study is to identify, analyse and evaluate the effects of the insurance sector on economic growth for three...

Persistent link: https://www.econbiz.de/10011964980

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test...

Persistent link: https://www.econbiz.de/10012183480

A cointegration model of money and wealth

Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012150128

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891