Narrow search
Showing 1 - 10 of 696,118
Cover Image
On the validity of tests for asymmetry in residual-based threshold cointegration models
Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13
finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases …
Persistent link: https://www.econbiz.de/10012025641
Cover Image
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …
Persistent link: https://www.econbiz.de/10011842010
Cover Image
Bayesian Inference in a Time Varying Cointegration Model
Koop, Gary - 2011
cointegrations. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues …. In this paper we develop a new time varying parameter model which permits cointegration. We use a specification which …
Persistent link: https://www.econbiz.de/10013121913
Cover Image
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
Cover Image
Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, Kevin D. - 2008
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
Cover Image
Searching for a theory that fits the data : a personal research odyssey
Jusélius, Katarina - In: Econometrics : open access journal 9 (2021) 1/5, pp. 1-27
theory with the data, and, as a solution, proposes a so-called theory-consistent CVAR scenario. A number of early CVAR …
Persistent link: https://www.econbiz.de/10012428078
Cover Image
Analysing I(2) systems by transformed vector autoregressions
Kongsted, Hans Christian; Bohn Nielsen, Heino - In: Oxford bulletin of economics and statistics 66 (2004) 3, pp. 379-397
Persistent link: https://www.econbiz.de/10002139170
Cover Image
Analyzing I(2) systems by transformed vector autoregressions
Kongsted, Hans Christian (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001716142
Cover Image
Analyzing I(2) Systems by Transformed Vector Autoregressions
Kongsted, Hans Christian; Nielsen, Heino Bohn - Økonomisk Institut, Københavns Universitet - 2002
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...
Persistent link: https://www.econbiz.de/10005225482
Cover Image
Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010412361