Search Results - subject:"cointegration regression"

Quantile cointegration analysis of the Fisher hypothesis

Tsong, Ching-Chuan; Lee, Cheng-Feng - In: Journal of Macroeconomics 35 (2013) C, pp. 186-198

This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009). Our empirical results for six OECD countries suggest that though the nominal...

Persistent link: https://www.econbiz.de/10010617294

Quantile cointegration analysis of the Fisher hypothesis

Tsong, Ching-chuan; Lee, Cheng-feng - In: Journal of macroeconomics 35 (2013), pp. 186-198

Persistent link: https://www.econbiz.de/10009723973

Macro Effects on Agricultural Prices in Different Time Horizons

Koo, Won W.; Cho, Guedae; Kim, MinKyoung - Agricultural and Applied Economics Association - AAEA - 2005

Using monthly data covering 1974:1 to 2002:12, this paper explores the linkage between changes in macroeconomic variables (real exchange rate and inflation rate) and changes in relative agricultural prices in different time horizons (1, 12, 24, 36, 48, and 60 months). By controlling factors that...

Persistent link: https://www.econbiz.de/10005327313

Long-run covariance and its applications in cointegration regression

Wang, Qunyong; Wu, Na - In: Stata Journal 12 (2012) 3, pp. 525-542

autocorrelation-consistent standard errors, generalized method of moments estimation, and cointegration regression. We propose a Stata … errors via the new hacreg command; we also illustrate cointegration regression with the new cointreg command. hacreg has … lag order, and prewhitening of the data. cointreg enables the estimation of cointegration regression using fully modified …

Persistent link: https://www.econbiz.de/10010631461

A dynamic analysis of France's external trade

Belessiotis, Tassos; Carone, Giuseppe - Volkswirtschaftliche Fakultät, … - 1997

The purpose of the present paper is to review the sources of France's trade surplus in recent years and to attribute trade balance movements strictly to those determinants of trade flows suggested by economic theory. These determinants are price and/or cost developments, and demand in France and...

Persistent link: https://www.econbiz.de/10005626847