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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Forecasting and assessing Euro area house prices through the lens of key fundamentals
Gattini, Luca; Hiebert, Paul - 2010
This paper presents a parsimonious model for forecasting and analysing euro area house prices and their interrelations with the macroeconomy. A quarterly vector error correction model is estimated over 1970-2009 using supply and demand forces central to the determination of euro area house...
Persistent link: https://www.econbiz.de/10008659384
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Regime-switching global vector autoregressive models
Binder, Michael; Groß, Marco - 2013
Persistent link: https://www.econbiz.de/10010195507
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Gatarek, Lukasz - 2014
Persistent link: https://www.econbiz.de/10010418991
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999
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A review of nonfundamentalness and identification in structural VAR models
Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2008
) representations of economic models. Nonfundamentalness typically arises when agents'information space is larger than the …
Persistent link: https://www.econbiz.de/10003782673