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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

Uncovered interest rate parity and the expectations hypothesis of the term structure : empirical results for the US and Europe

Brüggemann, Ralf (contributor); … - 2005

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm...

Persistent link: https://www.econbiz.de/10003049841

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotic properties apply under the null...

Persistent link: https://www.econbiz.de/10014071206

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...

Persistent link: https://www.econbiz.de/10014116819

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

Nielsen, Morten Ørregaard - 2004

We consider statistical inference for multivariate fractionally integrated time series models using a computationally simple conditional likelihood procedure which has recently been shown to be efficient in the univariate case. We show that those results generalize to the present multivariate...

Persistent link: https://www.econbiz.de/10014116820

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10011212800

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

Lütkepohl, Helmut; Milunovich, George - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …

Persistent link: https://www.econbiz.de/10011184636

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 di erent 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/10011335467

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 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/10012038682

Choosing between different time-varying volatility models for structural vector autoregressive analysis

Lütkepohl, Helmut; Schlaak, Thore - 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/10011674102

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