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Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

Johansen, Søren; Jusélius, Katarina; Frydman, Roman; … - In: Journal of econometrics 158 (2010) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10008826871

Testing hypothesis in an I(2) model with applications to the persistent long swings in the Dmk/$ rate

Johansen, Søren; Jusélius, Katarina; Frydman, Roman; … - 2007

Persistent link: https://www.econbiz.de/10003603881

A cointegrated VAR analysis of stock price models : fundamentals, psychology and structural change

Mangee, Nicholas; Goldberg, Michael D. - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 352-368

Persistent link: https://www.econbiz.de/10012312339

Taking a DSGE Model to the Data Meaningfully

Franchi, Massimo; Jusélius, Katarina - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-4, pp. 1-38

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Persistent link: https://www.econbiz.de/10010295287