Browsing Department of Economics (ECO) by Author "HALDRUP, Niels"

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Title: Representations of I(2) Cointegrated Systems Using the Smith-Mcmillan Form Author(s): HALDRUP, Niels; SALMON, Mark Date: 1998 Type of Publication: Article Abstract: This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of various ways I(2) cointegrated systems may be characterized and represented. Following Yoo (1986), Engle and Yoo (1991) ...
Title: Polynomially Cointegrated Systems and their Representations. A Synthesis Author(s): HALDRUP, Niels; SALMON, Mark Date: 1994 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: The Effects of Additive Outliers on Tests For Unit Roots and Cointegration Author(s): FRANSES, Philip Hans; HALDRUP, Niels Date: 1994 Type of Publication: Article Abstract: This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We provide analytical as well ...
Title: The Effects of Additive Outliers on Tests for Unit Roots and Co integration Author(s): FRANSES, Philip Hans; HALDRUP, Niels Date: 1993 Type of Publication: Working Paper Series/Report no.: EUI ECO

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