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Brownlees, Christian T. - 2011

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: First, and foremost, volatility measured on the basis of...

Persistent link: https://www.econbiz.de/10013124649

Dollarization in Lithuania : An Econometric Approach

Vetlov, Igor - 2007

The paper analyses the factors driving dollarization in Lithuania during the period from December 1992 to August 2000. Starting with a brief overview of the major economic and political developments in Lithuania, the study attempts to model the process of dollarization by applying rigorous time...

Persistent link: https://www.econbiz.de/10012729033

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

approach requires careful specification of the integration and cointegration properties of variables in systems of equations …

Persistent link: https://www.econbiz.de/10012726093

Searching for a theory that fits the data : a personal research odyssey

Jusélius, Katarina - In: Econometrics : open access journal 9 (2021) 1/5, pp. 1-27

This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the data, and, as a solution, proposes a...

Persistent link: https://www.econbiz.de/10012428078

Analysing I(2) Systems by Transformed Vector Autoregressions

Kongsted, Hans Christian; Bohn Nielsen, Heino - 2004

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

Persistent link: https://www.econbiz.de/10014070668

Noncausal Vector Autoregression

Lanne, Markku - 2009

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

Persistent link: https://www.econbiz.de/10013157004

Inference for Impulse Responses Under Model Uncertainty

Lieb, Lenard - 2017

estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank. While it is well … known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is … the treatment of the cointegration rank, and show how formally accounting for rank uncertainty can affect the conclusions …

Persistent link: https://www.econbiz.de/10012960344

On the Persistence of Cointegration in Pairs Trading

Clegg, Matthew - 2014

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

Persistent link: https://www.econbiz.de/10013048017

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

Persistent link: https://www.econbiz.de/10009614880

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987