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This chapter examines the problems of dealing with trending type data when there is uncertainty over whether or not we really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory does not imply a unit root in the data however unit...
Persistent link: https://www.econbiz.de/10014023695
This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...
Persistent link: https://www.econbiz.de/10005699677
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example. Drawing on the fact developed in a companion paper that the Johansen procedure has robustness properties against ARMA systems and the Bierens procedure is designed for ARMA...
Persistent link: https://www.econbiz.de/10010291926
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how...
Persistent link: https://www.econbiz.de/10010294007
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by a vector autoregressive process. In this article we extend the data generating process to autoregressive moving average models without unit roots in the MA polynomial. We first...
Persistent link: https://www.econbiz.de/10010333070
In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is -- in a certain sense made precise in the paper --...
Persistent link: https://www.econbiz.de/10005515669
The liquidity problems that appeared on the interbank money markets during the financial crisis caused an increased volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided the mutual funding, which resulted in a reduction...
Persistent link: https://www.econbiz.de/10011258912
In this paper, we measure, using Moroccan data, the misalignment of the real exchange rate of the Dirham, based on estimates in respect of the period from 1980 to 2012, a long term relationship between the real exchange rate and its fundamentals: namely terms of trade, trade policy, the growth...
Persistent link: https://www.econbiz.de/10010734378
The paper is the first part of the study which is devoted to the analysis of the macroeconomic trends in the Russian Federation and the Republic of Armenia in the period 1995–2011 and the development of the aggregated macroeconometric models of the national economies of these two countries. We...
Persistent link: https://www.econbiz.de/10010992083
We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise....
Persistent link: https://www.econbiz.de/10004992675