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THE EFFECTS OF DISAGGREGATED SAVINGS ON ECONOMIC GROWTH IN MALAYSIA - GENERALISED VARIANCE DECOMPOSITION ANALYSIS

Tang, Chor Foon; Lean, Hooi Hooi - Department of Econometrics and Business Statistics, … - 2009

foreign savings in Malaysia. The bounds testing approach to cointegration and the generalised forecast error variance … decomposition technique was used to achieve the objective of this study. The cointegration test results demonstrate that the …

Persistent link: https://www.econbiz.de/10005064186

Will the monetary pillar stay? : A few lessons from the UK

Paesani, Paolo (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001749485

A small monetary system for the euro area based on German data

Brüggemann, Ralf (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002233737

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B.; Li, Degui; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …

Persistent link: https://www.econbiz.de/10010860399

Model Specification between Parametric and Nonparametric Cointegration

Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2012

This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...

Persistent link: https://www.econbiz.de/10010860405

Hermite Series Estimation in Nonlinear Cointegrating Models

Cai, Biqing; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We …

Persistent link: https://www.econbiz.de/10010860416

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid; … - Department of Econometrics and Business Statistics, … - 2014

This article studies a simple, coherent approach for identifying and estimating error correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying...

Persistent link: https://www.econbiz.de/10011085533

Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo.

Martin, G. - Department of Econometrics and Business Statistics, … - 1995

Persistent link: https://www.econbiz.de/10005427622

EVOLUTION OF DOLLAR/EURO EXCHANGE RATE BEFORE AND AFTER THE BIRTH OF EURO AND POLICY IMPLICATIONS

Chen, Heng; Fausten, Dietrich K.; Wong, Wing-Keung - Department of Econometrics and Business Statistics, … - 2006

large shocks opens a window of opportunity for the Euro to promote systemic stability. The present study pursues this … conjecture by, first, exploring with cointegration and ECM techniques the interdependence between the dynamics of the Dollar …

Persistent link: https://www.econbiz.de/10005064072

Bivariate Causality between Exchange Rates and Stock Prices on Major Asian Countries

Lean, Hooi-Hooi; Halim, Marwan - Department of Econometrics and Business Statistics, … - 2005

This paper studies the cointegration and the bivariate causality relationship between exchange rates and stock prices … between the exchange rates and the stock prices. However, the causality but not the cointegration between the capital and … cointegration relationship weakens between exchange rates and stock prices. Thus, we conclude that (1) Asian Financial Crisis has a …

Persistent link: https://www.econbiz.de/10005064178