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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper

Schreiber, Sven - 2014 - This version: February 2014

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...

Persistent link: https://www.econbiz.de/10010489880

Codependent VAR models and the pseudo-structural form

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q...

Persistent link: https://www.econbiz.de/10011489949

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011517008

On the causality between saving and growth : long- and short-run dynamics and country heterogeneity

Andersson, Björn - 1999

The temporal interdependence between saving and output has been in focus in a number of recent empirical studies. Results from these studies have compelled some authors to question the traditional notion of a causal chain where saving leads growth through capital accumulation. This paper...

Persistent link: https://www.econbiz.de/10011587110

Chapter 6 Forecasting with VARMA Models

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

Financial cycles and bankruptcies in the Nordic countries

Hansen, Jan - 2003

a financial cycle, followed by severe banking crises. Cointegration analysis and Granger causality tests suggest that …

Persistent link: https://www.econbiz.de/10011584527

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

Villani, Mattias; Warne, Anders - 2003

handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …

Persistent link: https://www.econbiz.de/10009636519