Search Results - subject:"trace tests"

Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship

Byrne, Joseph P.; Nagayasu, Jun - Department of Economics, Adam Smith Business School - 2008

; endogenously determined structural breaks; trace tests JEL Classification: F31 Filename: JoeJun_Oct30_2008_GFJ … failed to obtain the results because of the singularity problem. 14 (2000) Trace tests with and without structural … Johansen and Juselius (1992). This was also the case with the S&L Trace tests with and without a dummy. Wu and Fountas (2000 …

Persistent link: https://www.econbiz.de/10005687325

Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion

Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - Granger Centre for Time Series Econometrics, School of … - 2010

In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of co-integration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include estimated deterministic components and non-zero...

Persistent link: https://www.econbiz.de/10008540445

Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship

Byrne, Joseph P.; Nagayasu, Jun - Scottish Institute for Research in Economics (SIRE) - 2008

In this paper we empirically examine the relationship between the real exchange rate and real interest rate differentials using recent econometric methods robust to potential structural breaks. Generally, our study provides evidence of this relationship in the long-run context. More...

Persistent link: https://www.econbiz.de/10010550761