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Reflections on "testing for unit roots in heterogeneous panels"

Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 2023

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …

Persistent link: https://www.econbiz.de/10013494205

Fiscal sustainability of the German Laender : time series evidence

Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - 2014

, first, examine the stationarity characteristics of public debt, revenues and expenditures. Second, we explore the long …-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …

Persistent link: https://www.econbiz.de/10010388609

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009

Revisiting the great ratios hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …

Persistent link: https://www.econbiz.de/10013041372

Long-run trends and cycles in US house prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

Persistent link: https://www.econbiz.de/10014427184

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …

Persistent link: https://www.econbiz.de/10009011784

Youth unemployment in Europe : persistence and macroeconomic determinants

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2014

in Europe by estimating fractional cointegration models. The evidence suggests that this series is highly persistent in …

Persistent link: https://www.econbiz.de/10010256726

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010249640

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10008732289