Title:Three Essays in Time Series Econometrics Author(s):KASCHA, ChristianDate:2007Citation:
- Florence, European University Institute, 2007
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract: in favor of a threshold model of this kind. The model suggests that the spread is probably not mean- reverting in a large band around the equilibrium. However, the model is not found to provide better forecasts relative ...
Title:Cointegration in Panel Data with Breaks and Cross-Section Dependence Author(s):BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep LluisDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/5Abstract:The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one ...
Title:Residual Autocorrelation Testing for Vector Error Correction Models Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Citation:
- Journal of Econometrics, 2006, 134, 2, 579-604
Type:ArticleAbstract: are cointegrated. The properties of residual autocorrelations of vector error correction models (VECMs) and tests for residual autocorrelation are derived. In particular, the asymptotic distributions of Lagrange multiplier ...
Title:A Small Monetary System for the Euro Area Based on German Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2006Citation:
- Journal of Applied Econometrics, 2006, 21, 6, 683-702.
Type:ArticleAbstract: taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error ...
Title:Three essays on EMU, exchange rates and time series econometrics Author(s):BOREIKO, DmitriDate:2006Citation:
- Florence : European University Institute, 2006
Type:ThesisSeries/Number:EUI PhD theses; Department of Economics
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract: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 ...
Title:Structural Vector Autoregressions with Nonnormal Residuals Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/25
Title:Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/15