Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of … Austria. -- seasonality ; agricultural supply response ; cointegration ; time series …

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative … adequate penalty for the complexity of candidate models. -- threshold cointegration ; parametric bootstrap ; model averaging …

Ordnung; Kointegration in einem bivariaten Modell; saisonale Integration für Semesterdaten; saisonale Integration für …

a convenient alternative to sequences of classical hypothesis tests. -- unit roots ; seasonal cointegration ; model …