Showing 1 - 10 of 45
We propose a seasonal cointegration model (SECM) for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10005464171
We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10005649231
Forecasts from seasonal cointegration models are compared with those from a standard cointegration model based on first differences and seasonal dummies. The effects of restricting or not restricting seasonal intercepts in the seasonal cointegration models are examined as well as the recently...
Persistent link: https://www.econbiz.de/10005190852
This paper investigates the small sample size and power properties of the likelihood ratio test in the seasonal error correction model. Two specifications of the model at the annual frequency are analyzed. One is more restricted (RS), designed for the particular case of 'synchronous...
Persistent link: https://www.econbiz.de/10005423875
We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and without cointegration restrictions is also included in...
Persistent link: https://www.econbiz.de/10005649206
In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation,...
Persistent link: https://www.econbiz.de/10005651552
In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation,...
Persistent link: https://www.econbiz.de/10005207176
This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.
Persistent link: https://www.econbiz.de/10005423859
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10005423880
Persistent link: https://www.econbiz.de/10005429435