In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs in dynamic systems involving both stock and flow variables whereby a common feature in the form of shared stochastic trends is present across different levels of multiple time...

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Terasvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for...

Delineation of the relevant market forms a pivotal part of most antitrust cases. The standard approach is sequential. First the product market is delineated, then the geographical market is defined. Demand and supply substitution in both the product dimension and the geographical dimension will...

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and...

A frequent criticism of unit root tests concerns the poor power and size properties that many of such tests exhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey...

One of the most infl?uential research ?fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a...

Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

The Lee and Carter (1992) model assumes that the deterministic and stochastic time series dynamics loads with identical weights when describing the development of age specific mortality rates. Effectively this means that the main characteristics of the model simplifies to a random walk model...

In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a...

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck...