The notion of cointegration has lead to a renewed interest in the identification and estimation of structural relations among economic time series, a field to which Henri Theil has made many pioneering contributions. This paper reviews the different approaches that have been put forward in the...

The distribution of a functional of two correlated vector Brownian motions isapproximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian...

Existing methods of reconstructing historical Euro-zone data by aggregation of the individual countries’ data raises numerous difficulties due to past exchange rate changes. The approach proposed here is designed to avoid such distortions, and aggregate exactly when exchange rates are...

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Several aspects of GARCH(p, q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood. This invalidates standard inference on the estimated...

Parallel computation has a long history in econometric computing, but is not at all wide spread. We believe that a major impediment is the labour cost of coding for parallel architectures. Moreover, programs for specific hardware often become obsolete quite quickly. Our approach is to take a...

This paper reviews the need for powerful computing facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the...