Titlebook: New Developments in Time Series Econometrics; Jean-Marie Dufour (Director of the C.R.D.E. (Centr Conference proceedings 1994 Physica-Verla

Microaneurysm

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Parameter Constancy in Cointegrating Regressions is the one-sided version of the Lagrange Multiplier (LM) test. Its limit distribution is non-standard but is nuisance parameter free and can be represented in terms of a stochastic bridge process which is tied down like a Brownian bridge but relies on a random rather than a deterministic fraction t

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The Sources of the U.S. Money Demand Instabilitytural breaks were found in the 1970s and the 1980s. In the present study a money demand function is specified in error-correction-form which involves real . 1, real ., the deflator and a short-term interest rate. Using flexible least squares it is shown for the U.S. that the long-run coefficients of

HAWK

On the (Mis)Specification of Seasonality and its Consequences: An Empirical Investigation with US Da procedures make assumptions, either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal frequencies. Consequently, seasonal-adjustment procedures may produce spurious seasonal variation and other statistically undesirable effects. In this paper we document for a l

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Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Serieslso a dual notion of common trends, is adopted for the seasonal case. The features are demonstrated in exemplary models for German and U.K. data. An evaluation of the predictive value of accounting for seasonal cointegration shows that seasonal cointegration may be difficult to exploit to improve pr

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A Note on Johansen’s Cointegration Procedure when Trends are Presentinistic linear time trends. We distinguish “stochastic” and “deterministic” cointegration, arguing that stochastic cointegration is sufficient for the existence of an error correction representation and that it is often the hypothesis of interest in empirical applications. We show that Johansen’s (1

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