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Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity

Pantelidis, Theologos; Pittis, Nikitas - In: Journal of forecasting 28 (2009) 7, pp. 612-630

Persistent link: https://www.econbiz.de/10003902230

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...

Persistent link: https://www.econbiz.de/10010293734

Cointegration and predictability of asset prices

Caporale, Guglielmo Maria; Pittis, Nikitas - 1998

Persistent link: https://www.econbiz.de/10000978641

The Fisher hypothesis, fiscal theories of inflation and debt neutrality : a cointegration and causality analysis

Caporale, Guglielmo Maria; Pittis, Nikitas - 1995

Persistent link: https://www.econbiz.de/10000151425

Cointegration and joint market efficiency

Caporale, Guglielmo Maria; Pittis, Nikitas - 1996

Persistent link: https://www.econbiz.de/10000561695

Cointegration and predictability of asset prices

Caporale, Guglielmo Maria; Pittis, Nikitas - 1998

Persistent link: https://www.econbiz.de/10000650913

Revisiting the long-run relationship between real exchange rates and real interest differentials : a productivity differential approach

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Ekonomia : the journal of the Cyprus Economic Society 5 (2001) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10002150483

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...

Persistent link: https://www.econbiz.de/10009728982

The Feldstein-Horioka puzzle revisited : a Monte Carlo study

Caporale, Guglielmo Maria; Panopulu, Aikaterinē; … - In: Journal of international money and finance 24 (2005) 7, pp. 1143-1149

Persistent link: https://www.econbiz.de/10003210065

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

Persistent link: https://www.econbiz.de/10002068644

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