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International R and D Spillovers and Institutions

Hoffmaister, Alexander W.; Coe, David T.; Helpman, Elhanan - International Monetary Fund (IMF) - 2008

panel cointegration estimation techniques to an expanded data set that we have constructed for the purpose of this study …

Persistent link: https://www.econbiz.de/10005768791

Cointegration and the joint confirmation hypothesis

Gabriel, Vasco J. - Núcleo de Investigação em Políticas Económicas … - 2001

root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for … testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the …

Persistent link: https://www.econbiz.de/10005771629

Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated

Österholm, Pär; Hjalmarsson, Erik - International Monetary Fund (IMF) - 2007

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the …

Persistent link: https://www.econbiz.de/10005599304

Is Foreign Debt Portfolio Management Efficient in Emerging Economies?

Hussein, Khaled - International Monetary Fund (IMF) - 2001

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...

Persistent link: https://www.econbiz.de/10005599482

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Real Exchange Rate Misalignment; A Panel Co-Integration and Common Factor Analysis

Yehoue, Etienne B.; Dufrénot, Gilles J. - International Monetary Fund (IMF) - 2005

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of …

Persistent link: https://www.econbiz.de/10005604940

Structural analysis of vector error correction models exogenous i(1) variables

Pesaran, M; Smith, R; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004

This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of …

Persistent link: https://www.econbiz.de/10005750747

Central America's Regional Trends and U.S. Cycles

Roache, Shaun K. - International Monetary Fund (IMF) - 2008

The economies of Central America share a close relationship with the United States, with considerable comovement of GDP growth over a long period of time. Trade, the financial sector, and remittance flows are all potential channels through which the U.S. cycle could affect the region. But just...

Persistent link: https://www.econbiz.de/10005605387

Tests for cointegration with two unknown regime shifts with an application to financial market integration

Hatemi-J, Abdulnasser - In: Empirical Economics 35 (2008) 3, pp. 497-505

Persistent link: https://www.econbiz.de/10005613074

Inference in small cointegrated systems: Some Monte Carlo results

Eitrheim, Øyvind - 1991

The Johansen procedure for testing and estimating cointegration models is analysed from a practitioner's perspective …. We adress the robustness of the cointegration tests in small samples and with respect to particular types of … short-run parameters in the model respectively. Power properties and finite sample performance for the cointegration test …

Persistent link: https://www.econbiz.de/10012143548