Hans Christian Kongsted

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  • Diw Berlin, Dick Van Dijk, Philip Hans Franses, Niels Haldrup, Svend Hylleberg, Hans Christian Kongsted +1 other
  • 2003
We compare the forecasting performance of linear autoregressive models, au-toregressive models with structural breaks, self-exciting threshold autoregressive models, and Markov switching autoregressive models in terms of point, interval, and density forecasts for h-month growth rates of industrial production of the G7 countries, for the period January(More)
Increasing the scope of an evidence based approach to areas outside healthcare has renewed the importance of a long-standing discussion on randomised versus observational study designs in evaluating the effectiveness of interventions. We investigate statistically if an increasing recognition of the role of certain nonrandomised studies to support or(More)
Yes. To the extent that monetary policy is assumed to react to asset prices, this reaction is usually assumed to be linear. This paper o¤ers a new perspective. I augment the model of Rigobon and Sack (2003) to allow for asymmetric reactions to stock price changes. I then demonstrate that the Federal Reserve has been following an asymmetric monetary policy(More)
Any opinions expressed here are those of the author(s) and not those of IZA. Research published in this series may include views on policy, but the institute itself takes no institutional policy positions. The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science,(More)
This paper analyzes the persistence of firms' exporting behavior in a panel of West German manufacturing firms. Dynamic binary choice models allow us to distinguish between true and spurious state dependence in firm performance. Using random effects models as well as a recent fixed effect approach which imposes few restrictions on unobservables, we find(More)
This paper analyzes the persistence of firms' exporting behavior in a panel of West German manufacturing firms. Dynamic binary choice models allow us to distinguish between true and spurious state dependence in firm performance. Using random effects models as well as a recent fixed effect approach which imposes few restrictions on unobservables, we find(More)
This paper analyzes the persistence of firms' exporting behavior in a panel of West German manufacturing firms. Dynamic binary choice models allow us to distinguish between true and spurious state dependence in firm performance. Using random effects models as well as a recent fixed effect approach which imposes few restrictions on unobservables, we find(More)
  • Peter Reinhard Hansen, I Thank, Graham Elliott, James D Hamilton, Hans Christian Kongsted, Anders Rahbek +1 other
  • 2000
The Johansen-Granger representation theorem for the cointegrated vector autoregressive process is derived using the companion form. This approach yields an explicit representation of all coe¢cients and initial values. This result is useful for impulse response analysis, common feature analysis and asymptotic analysis of cointegrated processes.
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