Asymptotic Inference on Cointegrating Rank in Partial Systems

Harbo, Ingrid; Johansen, Søren; Nielsen, Bent; Rahbek, Anders

doi:10.1080/07350015.1998.10524779

Cited by 195 publications

(152 citation statements)

References 10 publications

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“…We implement the tests developed by Johansen (1992) and Harbo et al (1998), and for each country model we test the joint significance of the estimated error-correcting terms in the marginal models for the foreign variables. To perform this test, we first estimate the following regression for each element l of x it ⁎ in each country i model:…”

Section: Weak Exogeneity Test Resultsmentioning

confidence: 99%

Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis

Koukouritakis¹,

Papadopoulos²,

Yannopoulos³

2015

Economic Modelling

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In the present paper we assess the impact of the Eurozone's economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece, Romania, Slovenia and Turkey. Since these countries are connected to the EU or the Eurozone and economic interdependence among them is continuously evolving, we implemented a Global VAR model. Our results indicate that all sample countries, except Turkey, react in a similar manner to changes (a) in the macroeconomic policies of the Eurozone, and (b) in the nominal exchange rate of the euro against the US dollar. There is evidence of linkages among the EU or Eurozone members of the region, and between each of them and the Eurozone.

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Section: Weak Exogeneity Test Resultsmentioning

confidence: 99%

Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis

Koukouritakis¹,

Papadopoulos²,

Yannopoulos³

2015

Economic Modelling

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“…Cointegration in the VARX* is tested, following the procedure in Harbo et al (1998) and using critical values from MacKinnon et al (1999); see also Johansen (1992Johansen ( , 1995 and Juselius (2006). The number of cointegrating vectors may differ from country to country.…”

Section: The Gvar In Ddpsmentioning

confidence: 99%

Evaluating a Global Vector Autoregression for Forecasting

Ericsson

Reisman

2012

Int Adv Econ Res

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Global vector autoregressions (GVARs) have several attractive features: multiple potential channels for the international transmission of macroeconomic and financial shocks, a standardized economically appealing choice of variables for each country or region examined, systematic treatment of long-run properties through cointegration analysis, and flexible dynamic specification through vector error correction modeling. Pesaran et al. (2009) generate and evaluate forecasts from a paradigm GVAR with 26 countries, based on Dées, di Mauro et al. (2007). The current paper empirically assesses the GVAR in Dées, di Mauro et al. ( 2007) with impulse indicator saturation (IIS)-a new generic procedure for evaluating parameter constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements.

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“…Besides an intensive treatment of the methodological issues of empirical research, Hendry (1995) emphasizes the use of VECM to conduct a dynamic empirical analysis. Johansen (1992), Habro et al (1998) and Johansen (1995) consider conditional processes of a cointegrated system as a specific structural model, where the structural information is formulated as the restrictions on the parameters in the cointegration space and on the parameters of the short run dynamics, respectively.…”

Section: Statistical Adequacy Of Ssems With I(1) Variablesmentioning

confidence: 99%

“…We denote the I(1)-and the I(0)-components by subindexes 1 and 2 respectively: (y~, x~) ' --(Y~t, Y~t, x~t, x~t)'. To give a general representation of the DGP for (y~,x~)', we transform the variables of primary 11 See Habro et al (1998) for details.…”

Section: The General Statistical Model For a Concrete Economic Policymentioning

confidence: 99%

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On the specification and estimation of large scale simultaneous structural macroeconometric models

Chen

Frohn

2006

Allgemeines Statistisches Arch

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Asymptotic Inference on Cointegrating Rank in Partial Systems

Cited by 195 publications

References 10 publications

Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis

Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis

Evaluating a Global Vector Autoregression for Forecasting

On the specification and estimation of large scale simultaneous structural macroeconometric models

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