Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q r. The present paper studies...

This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...

This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a higher degree of persistence than allowed for in...

This paper reviews the main theories of interest rate determination and studies the dynamics of the real interest rate in US. Using cointegration techniques we search for equilibrium relationships between the real interest rate, monetary factors and real factors and we study how these...

This study investigates the short- and long-run impact of infrastructure on export and trade deficit in selected South Asian countries during 1990-2017 by using Pooled Mean Group (PMG) estimator and cointegration techniques like Pedroni and Kao test. The empirical results of PMG approach...

An attempt is made in this paper to examine the impacts of government spending on human capital on human development indicators like healthcare outcomes, education achievements and increase in national income in Namibia using time series data from 1980 to 2015. The analysis reveals a significant...

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i. e. , regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and...