Search Results - subject:"Common Cyclical Features"

Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models

Wróblewska, Justyna - In: Central European Journal of Economic Modelling and … 4 (2012) 4, pp. 253-267

The main goal of the paper is the Bayesian analysis of weak form polynomial serial correlation common features together with cointegration. In the VEC model the serial correlation common feature leads to an additional reduced rank restriction imposed on the model parameters. After the...

Persistent link: https://www.econbiz.de/10010667726

Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models

Wróblewska, Justyna - In: Central European Journal of Economic Modelling and … 3 (2011) 3, pp. 169-186

The concept of cointegration that enables the proper statistical analysis of long-run comovements between unit root processes has been of great interest to numerous economic investigators since it was introduced. However, investigation of short-run comovement between economic time series seems...

Persistent link: https://www.econbiz.de/10010610428

Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

Gutierrez, Carlos Enrique Carrasco; Souza, Reinaldo Castro - Fundação Instituto Capixaba de Pesquisas em … - 2009

an additional weak form (WF) restriction of common cyclical features to analyze the appropriate way to select the correct …

Persistent link: https://www.econbiz.de/10010631425

Common trends and common cycles : Bayesian approach

Wróblewska, Justyna - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 91-110

Persistent link: https://www.econbiz.de/10011429745

A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series

Cubadda, Gianluca - Centro di Studi Internazionali Sull'Economia e la … - 2007

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be … tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features …. Statistical inference is obtained by means of reduced-rank regression, and alternative forms of common cyclical features are …

Persistent link: https://www.econbiz.de/10005795453

The Role of Common Cyclical Features for Coincident and Leading Indexes Building

Cubadda, Gianluca; Hecq, Alain - Dipartimento di Economia, Gestione, Società e … - 2003

In this paper we propose a new methodology to build composite coincident and leading indexes. Based on a formal definition which requires that the first difference of the leading index is the best linear predictor of the first difference of the coincident index, we show that the notion of...

Persistent link: https://www.econbiz.de/10005583234