Similar Search Results

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

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008643684

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2014

We consider cointegration tests in the situation where the cointegration rank is decient. This situation is of interest … in nite sample analysis and in relation to recent work on identication robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10010936519

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Mladenovic, Zorica; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10008469684

Analysis of co-explosive processes

Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2005

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

Persistent link: https://www.econbiz.de/10005730284

Autoregressive conditional root model

Rahbek, Anders; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10005730387

Asymptotic properties of least squares statistics in general vector autoregressive models

Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2001

A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the...

Persistent link: https://www.econbiz.de/10005687531

Economic integration in interwar Poland : a threshold cointegration analysis of the law of one price for Poland (1924 - 1937)

Trenkler, Carsten (contributor); Wolf, Nikolaus (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001749474

Polish stabilization : what can we learn from the I(2) cointegration analysis?

Vostroknutova, Ekaterina (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001749475