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Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

Persistent link: https://www.econbiz.de/10011309972

Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

Johansen, Soren; Juselius, Katarina; Frydman, Roman; … - 2008

This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on beta xt and the asymptotic variance for the stochastic trends parameters, alpha 1: How to specify deterministic...

Persistent link: https://www.econbiz.de/10014217147

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

Persistent link: https://www.econbiz.de/10009611542

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Persistent link: https://www.econbiz.de/10001642276

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

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 …

Persistent link: https://www.econbiz.de/10009725013

Animal spirits, the stock market, and the unemployment rate : some evidence for German data

Fritsche, Ulrich; Pierdzioch, Christian - 2016 - First version: January 2016

Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German...

Persistent link: https://www.econbiz.de/10011415821

Sectoral trends and cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2001

, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …

Persistent link: https://www.econbiz.de/10011398919

Sectoral Trends and Cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2021

, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …

Persistent link: https://www.econbiz.de/10013320888

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Dynamic semiparametric factor models in risk neutral density estimation

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Persistent link: https://www.econbiz.de/10003727490