Browsing Department of Economics (ECO) by Subject "vector error correction model"
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Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ... -
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract:When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...
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Title:Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/29Abstract:The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...