Showing 1 - 10 of 51
The use of subspace algorithms for the identification of non-stationary cointegrated stochastic systems is a promising technique that is currently under discussion. A revision of the literature provides two distinct algorithms: State Space Aoki Time Series (SSATS) identification algorithm (Aoki...
Persistent link: https://www.econbiz.de/10005407877
's (1992) conditional ECM- based t-test for no-cointegration with a single prespecified cointegrating vector. This alternative …-test with a prespecified cointegrating vector can have much higher power than single equation tests for cointegration based on …
Persistent link: https://www.econbiz.de/10005407947
This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis …
Persistent link: https://www.econbiz.de/10005407948
Persistent link: https://www.econbiz.de/10005407976
cointegration test, we assert that between January 1992 and November 1995, the Ukraine was faced with a complex monetary regime in …
Persistent link: https://www.econbiz.de/10005407979
stationarity, integration and cointegration, that continues by the appreciation of the multilateral and bilateral causality among …
Persistent link: https://www.econbiz.de/10005408149
This paper makes three contributions: First, I construct annual time series of gross domestic investment and national saving in the U.S. for the 1897–1949 period using historical component series. I compare the qualitative and quantitative properties of the newly constructed series with the...
Persistent link: https://www.econbiz.de/10005408170
stationarity, integration and cointegration, that continues by the appreciation of the multilateral and bilateral causality among …
Persistent link: https://www.econbiz.de/10005408172
This paper presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The empirical analysis builds on synthetic quarterly data from 1975 to 1998, and derives a Behavioural Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER)....
Persistent link: https://www.econbiz.de/10005408176
open economy macro model, we estimate our model using structural cointegration and vector error correction methods. Our …
Persistent link: https://www.econbiz.de/10005412642