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operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010264545
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. Despite this, age structure effects are rarely controlled for in...
Persistent link: https://www.econbiz.de/10010284297
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
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …
Persistent link: https://www.econbiz.de/10010264719
is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is …
Persistent link: https://www.econbiz.de/10010296614
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
processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …
Persistent link: https://www.econbiz.de/10010321545
When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …
Persistent link: https://www.econbiz.de/10010321641