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Title:Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis Author(s):LANNE, Markku; LUETKEPOHL, Helmut
Date: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 ...
Date: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 ...
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 ...
; 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 ...