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Oil price shocks and inflation dynamics in Nigeria : sensitivity of unit root to structural breaks
Odionye, Joseph Chukwudi; Ukeje, Okanta Sunday; Odo, … - In: International journal of business and economics … 8 (2019) 2, pp. 58-64
Persistent link: https://www.econbiz.de/10012231395
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Testing for the cointegrating rank of a VAR process with level shift at unknown time
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - Sonderforschungsbereich 373, Quantifikation und … - 2001
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a …
Persistent link: https://www.econbiz.de/10010983447
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Testing for the cointegrating rank of a VAR process with level shift and trend break
Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10010263655
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How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence
Mertens, Karel - Department of Economics, European University Institute - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005557697
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Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005489957
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Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, Carsten - Department of Economics, European University Institute - 2004
estimators and the cointegration rank tests in small samples is investigated by simulations. …
Persistent link: https://www.econbiz.de/10005744320
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Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Trenkler, Carsten; Saikkonen, Pentti; Luetkepohl, Helmut - Department of Economics, European University Institute - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005816395
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Transmission effects in the presence of structural breaks : evidence from South-Eastern European countries
Kukuritakēs, Minōas; Papadopoulos, Athanasios P.; … - In: Economic modelling 41 (2014), pp. 298-311
Persistent link: https://www.econbiz.de/10010439150
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May monetary transmission lags have a role in missing inflation targets in Turkey? : cointegration tests with structural breaks and structural VAR analysis
Bulut, Umit - In: International journal of economics and finance 8 (2016) 4, pp. 93-103
Persistent link: https://www.econbiz.de/10011456414
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Export-output growth nexus using threshold VAR and VEC models : empirical evidence from Thailand
Arisara Romyen; Liu, Jianxu; Songsak Sriboonchitta - In: Economies : open access journal 7 (2019) 2/60, pp. 1-16
This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis...
Persistent link: https://www.econbiz.de/10012021578