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The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206

Structural vector autoregressions with nonnormal residuals

Lanne, Markku; Lütkepohl, Helmut - 2006

derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …

Persistent link: https://www.econbiz.de/10010261406

On the existence of the moments of the asymptotic trace statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - 2009

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

Persistent link: https://www.econbiz.de/10010263761

Structural changes in the cointegrated vector autoregressive model

Hansen, Peter Reinhard - 2001

This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the...

Persistent link: https://www.econbiz.de/10010318949

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; van Dijk, Herman K. - 2010

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …

Persistent link: https://www.econbiz.de/10010326026

Long-run forecasting in multicointegrated systems

Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003

multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function … based on the triangular representation of cointegrated systems (suggested by Christoffersen and Diebold) considers forecast …

Persistent link: https://www.econbiz.de/10010260703

Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates

Tillmann, Peter - 2003

To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...

Persistent link: https://www.econbiz.de/10010263095

Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

wide range of forecast horizons and allow for estimated as well as theoretically specified cointegrating relationships in … theory, but only when the cointegrating relations are specified a priori based on economic theory. When estimated … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …

Persistent link: https://www.econbiz.de/10010263217

Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2009

This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables...

Persistent link: https://www.econbiz.de/10010265799

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010270722

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