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A Simple Mle of Cointegrating Vectors in Higher Order Integrated Systems

Stock, James H.; Watson, Mark W. - 2021

An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...

Persistent link: https://www.econbiz.de/10013237298

Cointegration Vector Estimation by Panel Dols and Long-Run Money Demand

Mark, Nelson C.; Sul, Donggyu - 2022

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed …

Persistent link: https://www.econbiz.de/10013324090

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance : the Case of Lucas Hypothesis

Nelson, Charles R. - 2010

The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH...

Persistent link: https://www.econbiz.de/10012760032

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

Brown, Scott James; Engle, Robert F.; Coulson, N. Edward - 2021

This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …

Persistent link: https://www.econbiz.de/10013221307

Estimating Sectoral Cycles Using Cointegration and Common Features

Issler, João Victor; Engle, Robert F. - 2021

output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to …

Persistent link: https://www.econbiz.de/10013227508

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong; Chinn, Menzie David - 2021

, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

Persistent link: https://www.econbiz.de/10013236694

On Low-Frequency Estimates of "Long-Run" Relationships in Macro- Economics

McCallum, Bennett T. - 2021

A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions...

Persistent link: https://www.econbiz.de/10013243448

Continuous-Time Linear Models

Cochrane, John H. - 2012

models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …

Persistent link: https://www.econbiz.de/10013104725

Low-Frequency Robust Cointegration Testing

Müller, Ulrich K. - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10013156688

Low-Frequency Econometrics

Müller, Ulrich K. - 2015

Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...

Persistent link: https://www.econbiz.de/10013015106