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Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

procedures do not deliver any evidence in favor of short run causality between the two series. …

Persistent link: https://www.econbiz.de/10010310809

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002

procedures do not deliver any evidence in favor of short run causality between the two series. …

Persistent link: https://www.econbiz.de/10010956345

Housing and the Business Cycle in South Africa

Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013

link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real gross domestic product, real … full sample bootstrap Granger causality tests, we find a uni-directional causality from output to number of building plans … passed; a uni-directional causality from real house price to output and a bi-directional causal link between residential …

Persistent link: https://www.econbiz.de/10010748379

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998 …

Persistent link: https://www.econbiz.de/10005100843

Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)

Sinyakov, Andrey - In: Quantile (2013) 11, pp. 91-106

There is an opinion that the Russian Central Bank's actual policy in 2000–2008 was real exchange rate targeting. At the same time, the Central Bank regularly declared inflation targets, but regularly missed them. We estimate a simple structural threshold VAR model of the Russian economy to...

Persistent link: https://www.econbiz.de/10010668573

Testing causality among five fertilizer prices

Lakkakula, Prithviraj - In: Applied economics letters 25 (2018) 9, pp. 601-606

Persistent link: https://www.econbiz.de/10011855062

Financial stability or instability? : impact from Chinese consumer confidence

Liu, Shi-Qi; Qi, Xin-Zhou; Qin, Meng; Su, Chi-Wei - In: Romanian journal of economic forecasting 22 (2019) 4, pp. 25-43

Persistent link: https://www.econbiz.de/10012420578

Bootstrap inference in single equation error correction models

Herwartz, Helmut; Neumann, Michael H. - 2000

In the sequel of its seminal application in Davidson, Hendry, Srba and Yeo (1978) the single equation error correction model has been widely used in empirical practice. Providing a clear distinction between short- and long-run dynamics this model allows OLS-methods to be as efficient as...

Persistent link: https://www.econbiz.de/10010310267

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In … forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Will the (German) NAIRU Please Stand up?

Franz, Wolfgang - 2003

This paper deals with a critical assessment and a reestimation of the "non-accelerating in ation rate of unemployment" (NAIRU) for Germany. There are quite a few obstacles to perceiving the NAIRU as an understandable and easy-to-use analytical instrument, suitable for economic policy: the...

Persistent link: https://www.econbiz.de/10010297287