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Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Improved output gap estimates and forecasts using a local linear regression

Fritz, Marlon - In: International economics : a journal published by CEPII … 172 (2022), pp. 157-167

Persistent link: https://www.econbiz.de/10014339408

Large time-varying parameter VARs : a non-parametric approach

Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017

Persistent link: https://www.econbiz.de/10011959996

Identifying financial instability conditions using high frequency data

Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242

Persistent link: https://www.econbiz.de/10012226914

The impact of COVID-19 infections on money demand : a cointegration analysis in the euro area

Zangelidis, Leonidas - In: International journal of sustainable economy : IJSE 15 (2023) 4, pp. 478-501

Persistent link: https://www.econbiz.de/10014428239

A characterization of vector autoregressive processes with common cyclical features

Franchi, Massimo; Paruolo, Paolo - In: Journal of econometrics 163 (2011) 1, pp. 105-117

Persistent link: https://www.econbiz.de/10009270438

Credit intensity of economic growth : a sectoral analysis : case of Sri Lanka

Perera, W. S. Navin - In: Staff studies : official journal of the Central Bank of … 47 (2017) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10012140378

Robust multivariate observation-driven filtering for a common stochastic trend : theory and application

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2024

estimated via Gaussian quasi-maximum likelihood. We formally derive the theory for the consistency of the estimators in both …

Persistent link: https://www.econbiz.de/10015073352

The effects of business cycles on tourism demand flows in small island destinations

Croes, Robertico; Ridderstaat, Jorge - In: Tourism economics : the business and finance of tourism … 23 (2017) 7, pp. 1451-1475

Persistent link: https://www.econbiz.de/10011772668

Essays on forecasting stationary and nonstationary economic time series

Bachmeier, Lance J. - 2002

Persistent link: https://www.econbiz.de/10003774225