Similar Search Results

Testing for Cointegration in Markov Switching Error Correction Models

Hu, Liang; Shin, Yongcheol - In: Essays in honor of Peter C.B. Phillips, (pp. 123-150). 2014

of no cointegration against an alternative of a globally stationary MS cointegration. The Monte Carlo studies demonstrate …-dividend relationships, our test is able to find cointegration while linear based tests fail to do so. …

Persistent link: https://www.econbiz.de/10015369575

Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)

Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271

specification needs a better theoretical grounding. Evidence of nonlinearities has been found by different estimation techniques …

Persistent link: https://www.econbiz.de/10011865510

A new class of bivariate threshold cointegration models

Cai, Biqing; Gao, Jiti; Tjostheim, Dag - 2015

Persistent link: https://www.econbiz.de/10011781115

A new class of bivariate threshold cointegration models

Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305

Persistent link: https://www.econbiz.de/10011704196

Stability of regime switching error correction models under linear cointegration

Saikkonen, Pentti - In: Econometric theory 24 (2008) 1, pp. 294-318

Persistent link: https://www.econbiz.de/10003894159

Regime shifts and the Canada/US exchange rate in a multivariate framework

Beckmann, Joscha; Czudaj, Robert - In: Economics letters 123 (2014) 2, pp. 206-211

Persistent link: https://www.econbiz.de/10010400293

Diagnostic checking of Markov multiplicative error models

Guo, Bin; Li, Shuo - In: Economics letters 170 (2018), pp. 139-142

Persistent link: https://www.econbiz.de/10012019627

Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model

Carlini, Federico - 2018

and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … estimation of the FECM model of Avarucci (2007) turns out to be more complicated. Therefore, we propose a 4-step estimation … procedure of Mosconi and Paruolo (2014). We check the performance of the proposed estimation procedure in finite samples by …

Persistent link: https://www.econbiz.de/10012907879

Bayesian Markov switching model for BRICS currencies' exchange rates

Kumar, Utkarsh; Ahmad, Wasim; Uddin, Mohammed Gazi Salah - In: Journal of forecasting 43 (2024) 6, pp. 2322-2340

Persistent link: https://www.econbiz.de/10015110450

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10009771139