Showing 1 - 10 of 11
cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied …
Persistent link: https://www.econbiz.de/10014515556
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10010291926
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …
Persistent link: https://www.econbiz.de/10010333070
The paper models domestic output over imports in Norway's expenditure on manufactures. Using Johansen's (1988, 1991) method, we obtain a cointegrating vector between the output-imports ratio, relative prices and a proxy for international specialisation. This vector enters a conditional...
Persistent link: https://www.econbiz.de/10011968014
A small Almost Ideal Demand System is estimated for Greek meat consumption using the Johansen procedure in conjunction with parametric bootstrapping and Bartlett corrections. Asymptotic Wald and likelihood ratio tests broadly support the predicted number of cointegrating relationships but reject...
Persistent link: https://www.econbiz.de/10005382397
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …
Persistent link: https://www.econbiz.de/10005764151
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10005704183
The paper models domestic output over imports in Norway’s expenditure on manufactures. Using Johansen’s (1988, 1991) method, we obtain a cointegrating vector between the output-imports ratio, relative prices and a proxy for international specialisation. This vector enters a conditional...
Persistent link: https://www.econbiz.de/10008462719
Persistent link: https://www.econbiz.de/10011625441
cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied …
Persistent link: https://www.econbiz.de/10015330060