Testing for the cointegrating rank in the presence of level shifts:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2002
|
| Series: | Berichte aus der Volkswirtschaft
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VII, 170 S. graph. Darst. |
| ISBN: | 3832205578 |
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MARC
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Record in the Search Index
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| adam_text | BERICHTE AUS DER VOLKSWIRTSCHAFT CARSTEN TRENKLER TESTING FOR THE
COINTEGRATING RANK IN THE PRESENCE OF LEVEL SHIFTS SHAKER VERLAG AACHEN
2002 CONTENTS 1 INTRODUCTION 1 1.1 TESTING FOR THE COINTEGRATING RANK 1
1.2 THE PRESENCE OF STRUCTURAL CHANGES 3 1.3 STRUCTURAL CHANGES AT
UNKNOWN TIME 5 1.4 OUTLINE 7 2 THEORETICAL FRAMEWORK 9 2.1 THE MODEL 10
2.2 JOHANSEN-TYPE TESTS 15 2.3 SAIKKONEN-LIITKEPOHL TESTS 18 3 ANALYSING
THE EFFECTS OF IGNORING LEVEL SHIFTS 23 3.1 PREVIOUS SIMULATION STUDIES
23 3.2 MONTE CARLO SIMULATIONS 26 3.2.1 THE DGP AND SIMULATION DETAILS
26 3.2.2 SIZE IN SMALL SAMPLES 31 3.2.3 SMALL SAMPLE POWER 40 3.3
EMPIRICAL ILLUSTRATION - A GERMAN MONEY DEMAND SYSTEM 53 3.4 SUMMARY 59
4 ANALYSIS OF SYSTEMS COINTEGRATION TESTS ALLOWING FOR LEVEL SHIFTS 63
4.1 LOCAL POWER ANALYSIS 64 4.2 SMALL SAMPLE ANALYSIS 71 4.3 SUMMARY 82
VI CONTENTS 5 THE POLISH CRAWLING PEG SYSTEM: AN APPLICATION OF
COINTEGRATION TESTS ALLOWING FOR LEVEL SHIFTS 85 5.1 ECONOMIC MOTIVATION
86 5.2 POLISH EXCHANGE RATE POLICY 87 5.3 THE MODELS 89 5.4 THE DATA AND
UNIT ROOT ANALYSIS 92 5.5 COINTEGRATION ANALYSIS 95 5.5.1 RESULTS FOR
THE BASKET MODEL 96 5.5.2 RESULTS FOR THE CURRENCY MODEL 98 5.5.3
EVALUATING THE EFFECTS OF IGNORING THE LEVEL SHIFT 100 5.6 SUMMARY 103
APPENDIX: UNIT ROOT TESTS 105 6 SYSTEMS COINTEGRATION TESTS WITH A LEVEL
SHIFT AT UNKNOWN TIME 109 6.1 MODEL FRAMEWORK ILL 6.2 ESTIMATION 113
6.2.1 CHOICE OF R AND P 113 6.2.2 ESTIMATION OF THE DETERMINISTIC PART
114 6.3 COINTEGRATING RANK TESTS 115 6.4 MONTE CARLO SIMULATIONS 116 6.5
EMPIRICAL ILLUSTRATIONS 129 6.5.1 POLISH CRAWLING PEG SYSTEM 129 6.5.2
PRICE-WAGE DYNAMICS IN POLAND 131 6.6 SUMMARY 139 7 CONCLUDING REMARKS
AND OUTLOOK 141 A DATA SOURCES 147 A.I GERMAN MONEY DEMAND SYSTEM 147
A.2 POLISH CRAWLING PEG SYSTEM 148 A.3 PRICE-WAGE DYNAMICS IN POLAND 148
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| spelling | Trenkler, Carsten 1974- Verfasser (DE-588)124086233 aut Testing for the cointegrating rank in the presence of level shifts Carsten Trenkler Aachen Shaker 2002 VII, 170 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Berlin, Humboldt-Univ., Diss., 2002 (DE-588)4113937-9 Hochschulschrift gnd-content GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019919919&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Trenkler, Carsten 1974- Testing for the cointegrating rank in the presence of level shifts |
| subject_GND | (DE-588)4113937-9 |
| title | Testing for the cointegrating rank in the presence of level shifts |
| title_auth | Testing for the cointegrating rank in the presence of level shifts |
| title_exact_search | Testing for the cointegrating rank in the presence of level shifts |
| title_full | Testing for the cointegrating rank in the presence of level shifts Carsten Trenkler |
| title_fullStr | Testing for the cointegrating rank in the presence of level shifts Carsten Trenkler |
| title_full_unstemmed | Testing for the cointegrating rank in the presence of level shifts Carsten Trenkler |
| title_short | Testing for the cointegrating rank in the presence of level shifts |
| title_sort | testing for the cointegrating rank in the presence of level shifts |
| topic_facet | Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019919919&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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