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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
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Terrorism and tourism: A conjunction and ramification in Pakistan
Raza, Syed Ali; Jawaid, Syed Tehseen - In: Economic Modelling 33 (2013) C, pp. 65-70
from the period of 1980 to 2010. Johansen and Jeuuselius and ARDL bound testing cointegration approach confirms the valid …
Persistent link: https://www.econbiz.de/10010738003
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Modelling the Macroeconomic Determinants of Workers’ Remittances: The Case of Jordan
Al-Assaf, Ghazi; Al-Malki, Abdullah M. - In: International Journal of Economics and Financial Issues 4 (2014) 3, pp. 514-526
. Several macroeconomic variables are taken into account in a cointegration analysis of the long-run relationship among …
Persistent link: https://www.econbiz.de/10010801063
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Public Debt Stock Sustainability in Selected OECD Countries
Ozkaya, Ata - In: Central Bank Review 13 (2013) 1, pp. 31-49
Among the different criteria used for testing sustainability of public debt, the econometric approach determines whether a government is able to sustain its budget deficits without defaulting on its debt. In this contribution, by linking three different motives proposed respectively by Trehan...
Persistent link: https://www.econbiz.de/10010941561
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Cointegration and causal relationships between energy consumption and output: Assessing the evidence from Australia
Shahiduzzaman, Md; Alam, Khorshed - In: Energy Economics 34 (2012) 6, pp. 2182-2188
In this paper, we describe our investigation of the cointegration and causal relationships between energy consumption … energy, capital and labour as separate inputs of production. The empirical evidence points to a cointegration relationship … between energy and output and implies that energy is an important variable in the cointegration space, as are conventional …
Persistent link: https://www.econbiz.de/10010588000
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Business Cycle Measurement in the Presence of Structural Change: International Evidence
Krolzig, Hans-Martin - Department of Economics, Oxford University - 2000
By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...
Persistent link: https://www.econbiz.de/10010605151
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Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland
Meurers, Martin - ifo Leibniz-Institut für Wirtschaftsforschung an der …
daraus abgeleiteten Hypothesen werden unter Ausschöfpfung des Instrumentariums der modernen Zeitreihenanalyse überprüft. …
Persistent link: https://www.econbiz.de/10008791347
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Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan
Sideris, Dimitrios - Bank of Greece - 2004
The present paper tests for the validity of long-run purchasing power parity (PPP) for the three key currencies of the recent floating exchange rate period, the US dollar, the German mark and the Japanese yen. The novelty of the paper is that the validity of the PPP conditions relating the...
Persistent link: https://www.econbiz.de/10005523522
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A Specification Search Algorithm for Cointegrated Systems
Mycielski, Jerzy; Kurcewicz, Michal - Society for Computational Economics - SCE - 2004
Correction Models. The algorithm automates testing the cointegration rank of the system and performs simplifications based on …
Persistent link: https://www.econbiz.de/10005537612