scispace - formally typeset
Search or ask a question

Showing papers in "Journal of Economic Dynamics and Control in 1988"


Journal ArticleDOI
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.

16,189 citations


Journal ArticleDOI
TL;DR: In this article, the authors present a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models, which is quite general.

2,686 citations


Journal ArticleDOI
TL;DR: In this article, the authors analyzed the term structure of interest rates during the monetary experiment of October 1979 and concluded that the expectation hypothesis holds up fairly well for these data, once the recognition by bond traders of changes in regime is taken into account.

988 citations


Journal ArticleDOI
TL;DR: This paper examined several grounds for doubting the value of much of the special attention recently devoted to unit root econometrics and showed that unit root hypotheses are less well connected to economic theory than is often suggested or assumed.

545 citations


Journal ArticleDOI
TL;DR: In this article, the authors show that causality tests can be relevant when considering the effectiveness of a control mechanism, rejecting some results in earlier papers, and extend this analysis to cointegrated variables, when causality is a necessary consequence.

527 citations


Journal ArticleDOI
TL;DR: In this article, it was shown that the requirement that the government's budget be balanced in present value terms is equivalent to the condition that government expenditures inclusive of interest, tax receipts and seignorage be cointegrated.

521 citations


Journal ArticleDOI
TL;DR: This paper showed that the estimated coefficients in the Marsh-Merton (1987) error-correction model of dividend behavior in the stock market are roughly implied by a near-rational expectations model wherein dividends are persistent and prices are disturbed by some persistent random noise.

210 citations


Journal ArticleDOI
TL;DR: In this article, the authors studied cointegrated systems of multiple time series which are individually well described as integrated processes (with or without a drift) and provided necessary and sufficient conditions for cointegration.

197 citations


Journal ArticleDOI
TL;DR: In this article, a new test for cointegration is proposed based on time-series canonical correlation analysis and solves the problem of unidentified parameters under the null hypothesis and of identification of the cointegrating vectors when more than two time series are investigated.

119 citations


Journal ArticleDOI
TL;DR: In this article, the authors investigate the dynamic behavior of five stock prices over the volatile period from January 1972 through December 1979, finding that the series are cointegrated with one dominant common trend, a component with an estimated root of 0.95.

95 citations


Journal ArticleDOI
TL;DR: In this paper, the authors estimate the variance of the permanent component of one series (GNP, stock prices) from the covariance of the regular component of the other (consumption, dividends).

Journal ArticleDOI
TL;DR: In this article, a multivariate continuous time model is presented in which a n-dimensional process is represented as the sum of k stochastic trends plus a ndimensional stationary term, assumed to obey a system of higher-order autoregressive (AR) stochastically differential equations.

Journal ArticleDOI
TL;DR: This study proposes a Flexible Least Squares (FLS) method for state estimation when the dynamic equations are unknown but the process state evolves only slowly over time.


Journal ArticleDOI
TL;DR: In this article, it was shown that the dynamic shape of an aggregated error correction model is in general much more complicated than that of the corresponding micromodels, and that the aggregated ECM takes the form of an infinite distributed lag even when the microequations are finite distributed lag models.

Journal ArticleDOI
TL;DR: In this article, the authors review the empirical evidence and suggest that the resulting decomposition may be spurious, just as detrending by linear regression is known to generate spurious trends and cycles in nonstationary time series.


Journal ArticleDOI
TL;DR: In this paper, the authors explore the serious bias and wide dispersion of parameter estimates created by standard Box-Jenkins methods applied to weakly trend-reverting series, and show that this bias can be substantially reduced by the estimation of appropriately specified unobserved components models.

Journal ArticleDOI
Agustin Maravall1
TL;DR: Using an ARIMA parametrization, the authors provides a simple proof of how the Wiener-Kolmogorov-Whittle filter to estimate signals in time series can be extended to the nonstationary case.

Journal ArticleDOI
TL;DR: The paper considers the conditions under which a system of dynamic equations will be consistent with some prespecified multivariate equilibrium specification and suggests a relatively simple method for determining whether a given dynamic system satisfies the conditions for representation as an error correction specification.

Journal ArticleDOI
TL;DR: In this paper, the effects of governmental intervention on the optimal path and welfare are presented, and the effect of government intervention in the market has been analyzed in terms of welfare and optimal path.

Journal ArticleDOI
TL;DR: In this paper, the authors define globally stable equilibrium as an equilibrium solution of an N-person game with respect to an a priori fixed ordering of computation of policies if, regardless of what initial policies the players start with, the generated algorithm converges to that equilibrium.


Journal ArticleDOI
TL;DR: In this article, a new state space representation of time series models is described from which cointegration vectors are immediately obtainable, which is different from the one common in the literature, and allocates innovations in new data differently from that due to Beveridge and Nelson.





Journal ArticleDOI
TL;DR: In this article, it was shown that if the interarrival times satisfy a simple restriction called NBU (New Better than Used), then a reservation wage strategy maximizes the searcher's expected discounted net return.