Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Type of Publication:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
Title:Britain and Canada and their large neighboring monetary unions, part I
Author(s):HOWARTH, David; VERDUN, Amy; PADFIELD, Melissa; YOUNG, Patricia; WILLETT, Thomas D.; ARTIS, Michael J.; LAIDLER, David; SCHEMBRI, Lawrence; GRUBEL, Herbert; CROWLEY, Patrick M.Date:2006Type of Publication:Article
Title:Business Cycle Analysis and VARMA Models
Author(s):KASCHA, Christian; MERTENS, KarlDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:An important question in empirical macroeconomics is whether
structural vector autoregressions (SVARs) can reliably discriminate
between competing DSGE models. Several recent papers have sug-
gested that one reason SVARs ...
Title:Business Cycles for G7 and European Countries
Author(s):ARTIS, Michael J.; KONTOLEMIS, Zenon G.; OSBORN, Denise R.Date:1997Type of Publication:ArticleAbstract:This article proposes classical business cycle turning points for the G7 and a number of European countries based on industrial production. This enables us to examine the international nature of cyclical movements free ...
Title:Buyers' Coordination and Entry
Author(s):MOTTA, Massimo; FUMAGALLI, ChiaraDate:2001Type of Publication:Working PaperSeries/Report no.:CEPR Discussion Paper