Search Results - subject:"I(1) Process"

Human activities and global warming: a cointegration analysis

Liu, Hui; Rodríguez, Gabriel - Volkswirtschaftliche Fakultät, … - 2005

Using econometric tools for selecting I(1) and I(2) trends, we found the existence of static long-run steady-state and dynamic long-run steady-state relations between temperature and radiative forcing of solar irradiance and a set of three greenhouse gases series. Estimates of the adjustment...

Persistent link: https://www.econbiz.de/10005619569

Autoregressive Approximations of Multiple Frequency I(1) Processes

Bauer, Dietmar; Wagner, Martin - Department of Economics and Finance Research and … - 2005

multiple frequency I(1) process to the corresponding properties of a related stationary process, which are well known. First …

Persistent link: https://www.econbiz.de/10005823256

The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure

Bowsher, Clive G.; Meeks, Roland - Economics Group, Nuffield College, University of Oxford - 2006

, the yield spreads are shown to be a non-stationary, cointegrated I(1) process. This result invalidates many existing …

Persistent link: https://www.econbiz.de/10005730267

The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure

Bowsher, Clive; Meeks, Roland - Department of Economics, Oxford University - 2006

, the yield spreads are shown to be a non-stationary, cointegrated I(1) process. This result invalidates many existing …

Persistent link: https://www.econbiz.de/10010605210

Autoregressive Approximations of Multiple Frequency I(1) Processes

Bauer, Dietmar; Wagner, Martin - Department of Economics, European University Institute - 2005

of autoregressions for the nonstationary multiple frequency I(1) process to the corresponding properties of a related …

Persistent link: https://www.econbiz.de/10005816419

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe

Brueggemann, Ralf; Luetkepohl, Helmut - Department of Economics, European University Institute - 2005

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm...

Persistent link: https://www.econbiz.de/10005816421

The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on the B-convergence process in Canadian provinces. Using information on personal income for the period 1926-1999, the principal conclusion is that the ...

Rodriguez, Gabriel - Département d'Économie / Department of Economics, … - 2003

Persistent link: https://www.econbiz.de/10008491486