Results 181 to 190 of about 7,306 (214)

Threshold Cointegration [PDF]

open access: possibleInternational Economic Review, 1997
Summary: We consider a model in which there is discontinuous adjustment to a long-run equilibrium. Here, the equilibrium error follows a threshold autoregression that is mean-reverting outside a given range and has a unit root inside the range. We suggest a two-step approach for examining threshold cointegration.
Nathan S. Balke, Thomas B. Fomby
openaire   +2 more sources

Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

The Journal of Finance, 1994
ABSTRACTMultivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly ...
Baillie, Richard T, Bollerslev, Tim
openaire   +1 more source

Canonical Cointegrating Regressions

Econometrica, 1992
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Cointegration

1997
Abstract 9.1.1. As another important application of our method let us consider the problem of whether micro cointegration implies macro cointegration. We do not want to deal with the problem at a high level of generality. However, the reader will be easily convinced that our results, obtained in the two variable case, can be extended ...
Mario Forni, Marco Lippi
openaire   +1 more source

Home - About - Disclaimer - Privacy