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The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

is provided by a productivity-based model of the real value of the euro. Some panel regression estimates of the … relationship between intercountry relative productivity differentials and real exchange rates is presented. Using these estimates … to conduct some calculations, one comes to the conclusion that unless drastic changes to productivity trends occur, there …

Persistent link: https://www.econbiz.de/10009583879

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...

Persistent link: https://www.econbiz.de/10009626747

Estimating the Kronecker indices of cointegrated echelon form VARMA models

Bartel, Holger; Lütkepohl, Helmut - 1997

Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating...

Persistent link: https://www.econbiz.de/10009630541

Rank tests for nonlinear cointegration

Breitung, Jörg - 1998

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...

Persistent link: https://www.econbiz.de/10009578004

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...

Persistent link: https://www.econbiz.de/10009578552

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

Following Bierens (1997a,b) and Vogelsang (1998a,b), unit root tests can be constructed which are asymptotically invariant to parameters involved by the short run dynamics of the process. Such an approach is called nonparametric by Bierens (1997b) and can be used to test a wide range of...

Persistent link: https://www.econbiz.de/10009580478

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383