The Johansen procedure for testing and estimating cointegration models is analysed from a practitioner's perspective. We adress the robustness of the cointegration tests in small samples and with respect to particular types of misspecification of the model. A small cointegrated system is...

Recent work by Clements and Hendry have shown why forecasting systems that are in terms of differences, dVARs, can be more accurate than economet- ric models that include levels variables, ECMs. For example, dVAR forecasts are insulated from parameter non-constancies in the long run mean of the...

After a forecast failure, a respecification is usually necessary to account for the data ex post, in which case there is a gain in knowledge as a result of the forecast failure. Using Norwegian consumption as an example, we show that the financial deregulation in the mid 1980s led to forecast...

Kompetanseforskjeller mellom innvandrere og innfødte arbeidere kan være én mulig årsak til at de har ulik ledighets- og sysselsettingsmønster. Innvandrere står overfor en mer usikker avkastning på investeringer i humankapital enn innfødte arbeidere. De står f.eks. overfor en...

This paper tests for multiple equilibria in the Norwegian unemployment rate and investigates whether it displays asymmetric response to positive and negative shocks. Linear and nonlinear univariate models are employed to account for the unemployment behaviour over the period 1972-1997. Among...

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Major changes in the Norwegian exchange rate have often coincided with large fluctuations in the price of crude oil. Previous empirical studies have however suggested a weak and ambiguous relation between the oil price and the exchange rate. In contrast to these studies, this paper explores the...