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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

On the Use of Multivariate Cointegration Analysis in Residential Energy Demand Modelling

Madlener, Reinhard - Department of Economics and Finance Research and … - 1996

The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of …

Persistent link: https://www.econbiz.de/10005823244

Autoregressive Approximations of Multiple Frequency I(1) Processes

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

We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...

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

Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture

Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 1995

eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of …

Persistent link: https://www.econbiz.de/10005764138

VAR Cointegration in VARMA Models

Wagner, Martin - Department of Economics and Finance Research and … - 1999

The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …

Persistent link: https://www.econbiz.de/10005764151

Forecasting Stock Market Averages to Enhance Profitable Trading Strategies

Haefke, Christian; Helmenstein, Christian - Department of Economics and Finance Research and … - 1995

arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture …

Persistent link: https://www.econbiz.de/10005764180

Testing for Stationarity in a Cointegrated System

Kunst, Robert M. - Department of Economics and Finance Research and … - 2002

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

Persistent link: https://www.econbiz.de/10005764208

The Long Run, Market Power and Retail Pricing

Jumah, Adusei - Department of Economics and Finance Research and … - 2000

The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers … Johansen cointegration technique as a tool capable of analysing both competitive and imperfect market situations is also …

Persistent link: https://www.econbiz.de/10005247722

Bierens' and Johansen's Method - Complements or Substitutes?

Wagner, Martin - Department of Economics and Finance Research and … - 1999

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …

Persistent link: https://www.econbiz.de/10005704183