This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...

This paper proposes a methodology that combines the use of Schwarz's BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests....

This paper proposes a methodology that combines the use of Schwarz's BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests....

A semiparametric multiplicative error model (MEM) is proposed. In traditional MEM, the innovations are typically assumed to be Gamma distributed (with one free parameter that ensures unit mean of the innovations and thus identifiability of the model), however empirical investigations unveils the...

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...

In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We introduce a random walk hierarchical prior for each regime-specific mean growth rate and impose a cointegrating relationship...

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...