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leader. We estimate a model of wage formation in manufacturing and in two other sectors. Deciding cointegration rank is an … cointegration analysis provides evidence that collective wage negotiations in manufacturing have defined wage norms for the rest of …
Persistent link: https://www.econbiz.de/10012696292
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011995197
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...
Persistent link: https://www.econbiz.de/10011995230
Persistent link: https://www.econbiz.de/10011995238
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011755321
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …
Persistent link: https://www.econbiz.de/10011755326
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...
Persistent link: https://www.econbiz.de/10011755375
The use of subspace algorithms for the identification of non-stationary cointegrated stochastic systems is a promising technique that is currently under discussion. A revision of the literature provides two distinct algorithms: State Space Aoki Time Series (SSATS) identification algorithm (Aoki...
Persistent link: https://www.econbiz.de/10005407877
This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis …
Persistent link: https://www.econbiz.de/10005407948
Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series …
Persistent link: https://www.econbiz.de/10005556273