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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of...
Persistent link: https://www.econbiz.de/10003996897
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Critical values for cointegration tests
MacKinnon, James G. - 2010
This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...
Persistent link: https://www.econbiz.de/10003919736
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Does the nominal exchange rate regime affect the real interest parity condition?
Dreger, Christian (contributor) - 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10003779164
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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019
identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. The bootstrap methods considered are a wild bootstrap, a moving blocks bootstrap and a GARCH residual based bootstrap …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …
Persistent link: https://www.econbiz.de/10012041300
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010501257
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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - 2018
generalized autoregressive conditional heteroskedastic (GARCH) innovations. The bootstrap methods considered are a wild bootstrap …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a … simplified procedure based on univariate GARCH estimations and a method that does not re-estimate the GARCH parameters in each …
Persistent link: https://www.econbiz.de/10011880712
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Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut; Schlaak, Thore - 2017 - This version: July 4, 2017
The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...
Persistent link: https://www.econbiz.de/10011669909
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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …
Persistent link: https://www.econbiz.de/10010488275
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Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : comment
Siliverstovs, Boriss - 2003
In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...
Persistent link: https://www.econbiz.de/10011439441
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Money demand in Europe : evidence from the past
Hahn, Elke; Müller, Christian - 2000
The conditions under which European monetary policy is likely to be conducted are investigated by means of multi-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long-run relationships, one of...
Persistent link: https://www.econbiz.de/10011432808