Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 589-612
Type:ArticleAbstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Title:The Price Puzzle in the Monetary Transmission Vars with Long-Run Restrictions Author(s):KRUSEC, DejanDate:2010Citation:
- Economics Letters, 2010, 106, 3, 147-150
Type:ArticleAbstract:This study addresses the price puzzle - a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest ...
Title:The 'price puzzle' in the monetary transmission VARs with long-run restrictions Author(s):KRUSEC, DejanDate:2010Citation:
- Economics letters, 2010, 106, 3, 147-150
Type:ArticleAbstract:This study addresses the 'price puzzle' - a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest ...
Title:Special issue on modern econometric analysis - surveys on recent developments Author(s):HÜBLER, Olaf; FROHN, Joachim; CHEN, Pu; BREITUNG, Jörg; EICKMEIER, Sandra; WOLTERS, Jürgen; HASSLER, Uwe; LUETKEPOHL, Helmut; HERWARTZ, Helmut; FITZENBERGER, Bernd; WILKE, Ralf A.; HÜBLER, Olaf; KAUERMANN, Göran; RONNING, Gerd; BOES, Stefan; WINKELMANN, Rainer; SCHNEEWEISS, Hans; AUGUSTIN, Thomas; CALIENDO, Marco; HUJER, Reinhard; RäSSLER, Susanne; RIPHAHN, Regina T.Date:2006Citation:
- Allgemeines statistisches Archiv, 2006, 90, 1, 1-232
Title:Pitfalls in cross-section studies with integrated regressors : a survey and new developments Author(s):BEKIROS, Stelios D.; SJÖ, Bo; SWEENEY, Richard J.Date:2018Citation:
- Journal of economic surveys, 2018, Vol. 32, No. 4, pp. 1045-1073
Type:ArticleAbstract:In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting unbalanced regression. A spuriously significant relationship may be found in large ...
Title:Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance Author(s):ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, MassimoDate:2010Citation:
- German Economic Review, 2010, 11, 3, 381-396
Type:ArticleAbstract:This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, ...
Title:Monetary policy in Germany : a cointegration analysis on the relevance of interest rate rules Author(s):ELEFTHERIOU, MariaDate:2009Citation:
- Economic modelling, 2009, Vol. 26, No. 5, pp. 946-960
Type:ArticleAbstract:The paper attempts to identify an empirical relationship that characterizes the way the Bundesbank adjusted its short-term rate with respect to various objectives. By building on a careful exploration of the properties of ...