Similar Search Results

Causal transmission in reduced-form models

Bazinas, Vassilios; Nielsen, Bent - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25

We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...

Persistent link: https://www.econbiz.de/10013355236

The discovery of long-run causal order : a preliminary investigation

Hoover, Kevin D. - In: Econometrics : open access journal 8 (2020) 3/31, pp. 1-24

The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn …

Persistent link: https://www.econbiz.de/10012265689

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17

cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

Persistent link: https://www.econbiz.de/10011710948

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

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/10011945700

Cointegration and structure in Norwegian wage-price dynamics

Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics : open access journal 8 (2020) 3/29, pp. 1-15

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/10012265703

Cointegration, root functions and minimal bases

Franchi, Massimo; Paruolo, Paolo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-27

This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...

Persistent link: https://www.econbiz.de/10012617251

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

Persistent link: https://www.econbiz.de/10013355167

A conversation with Katarina Juselius

Jusélius, Katarina (interviewee); … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355175

Background indicators

Raunig, Burkhard - In: Econometrics : open access journal 7 (2019) 2/20, pp. 1-17

It is customary to assume that an indicator of a latent variable is driven by the latent variable and some random noise. In contrast, a background indicator is also systematically influenced by variables outside the structural model of interest. Background indicators deserve attention because in...

Persistent link: https://www.econbiz.de/10012025817

A pitfall in using the characterization of Granger non-gausality in vector autoregressive models

Triacca, Umberto - In: Econometrics : open access journal 3 (2015) 2, pp. 233-239

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of … covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger … non-causality in a VAR model fails to hold. In these situations Granger non-causality test results must be interpreted …

Persistent link: https://www.econbiz.de/10011297658