In this article we derive minimal conditions to determine the existence of rational expectations solutions obtained using a Generalized Bzout Theorem. We demonstrate that as long as the matrix polynomial derived from the model is regular, then a monic polynomial factor always exists and from...

This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity. The discovery of stationary price differentials in a bivariate setting implies that the series are rendered stationary by capturing a common trend...

In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speci fically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The...

This article considers cointegration analysis to detect key features of long‐run structure in the gasoline market. The main purpose of this study is to investigate possible long‐run price leadership in the US gasoline market and the characteristics relevant to a competitive market using the...