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MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors,Expand
The Cointegrated VAR Model: Methodology and Applications
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and itsExpand
Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
Abstract The paper develops some new tests for structural hypotheses in the framework of a multivariate error correction model with Gaussian errors. The tests are constructed by an analysis of theExpand
DO PURCHASING POWER PARITY AND UNCOVERED INTEREST RATE PARITY HOLD IN THE LONG RUN? AN EXAMPLE OF LIKELIHOOD INFERENCE IN A MULTIVARIATE TIME-SERIES MODEL
The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood functionExpand
Explaining Cointegration Analysis: Part II
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processesExpand
Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model
TLDR
The problem of identification in a model with cointegration is discussed and a criterion for a statistical model to be identifying is given and a switching algorithm for calculating the restricted parameters is proposed. Expand
International parity relationships between the USA and Japan
Based on multivariate cointegration analysis we show that key parity conditions between the USA and Japan do not hold as stationary relations and that this is related to the nonstationarity of theExpand
Domestic and foreign effects on prices in an open economy: The case of Denmark
Abstract Domestic price determination in Denmark is investigated using three kinds of macroeconomic explanations: (1) internal labor market theories describing the relation between price and wageExpand
International Parity Relationships Between Germany and the United States: A Joint Modelling Approach
This paper examines the interrelations between the purchasing power parity, uncovered interest parity, the term structure of interest rates and the Fisher real interest rate parity usingExpand
The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications
This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors,Expand
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