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Stock Prices and Economic Fluctuations:A Markov Switching Structural VectorAutoregressive Analysis
Lanne, Markku; Luetkepohl, Helmut - CESifo - 2008
The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...
Persistent link: https://www.econbiz.de/10005405830
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Heteroskedastic structural vector autoregressions identified via long-run restrictions
Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....
Persistent link: https://www.econbiz.de/10015207512
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Heteroskedastic structural vector autoregressions identified via long-run restrictions
Bruns, Martin; Lütkepohl, Helmut - 2024
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....
Persistent link: https://www.econbiz.de/10015211297
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Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut - 2006
Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...
Persistent link: https://www.econbiz.de/10014023700
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Impact of exchange rate depreciation on the balance of payments : empirical evidence from Nigeria
Iyoboyi, Martins; Muftau, Olarinde - In: Cogent economics & finance 2 (2014) 1, pp. 1-23
The paper investigates the impact of exchange rate depreciation on the balance of payments (BOP) in Nigeria over the period 1961 - 2012. The analysis is based on a multivariate vector error correction framework. A long-term equilibrium relationship was found between BOP, exchange rate and other...
Persistent link: https://www.econbiz.de/10010474303
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A cointegration model of money and wealth
Assenmacher, Katrin; Beyer, Andreas - 2018
Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...
Persistent link: https://www.econbiz.de/10011974516
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Foreign direct investment - domestic investment nexus : evidence from India
Babu, Abraham - In: Contemporary economics 15 (2021) 3, pp. 267-275
investment and domestic investment was analysed using cointegration test. Thereafter, the vector error correction model was …
Persistent link: https://www.econbiz.de/10012629553
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Chapter 11 Forecasting with Trending Data
Elliott, Graham - 2006
models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …
Persistent link: https://www.econbiz.de/10014023695
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Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia
Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …
Persistent link: https://www.econbiz.de/10013489691
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The impact of foreign direct investment on Namibia’s economic growth : a time series investigation
Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness …
Persistent link: https://www.econbiz.de/10014500822