Asymptotic Inference on Cointegrating Rank in Partial Systems

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

doi:10.2307/1392608

Cited by 126 publications

(102 citation statements)

References 0 publications

Supporting

Mentioning

101

Contrasting

Order By: Relevance

“…For the purposes of testing for the rank, the two variables are taken as I(1). In accordance with Harbo et al (1998)'s suggestions for partial systems, a deterministic trend is also included in the system. In addition, a constant term, centred seasonal dummies (CS1, CS2 and CS3), and the two dummy variables V AT and ST OP , which capture the effects of the introduction of the VAT in 1970 and of a wage and price freeze in 1978-79, respectively, enter the system unrestrictedly.…”

Section: Cointegration and Exogeneitymentioning

confidence: 99%

Consumption and population age structure

Erlandsen¹,

Nymoen

2006

J Popul Econ

View full text Add to dashboard Cite

In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals' saving and consumption behaviour. Despite this, age structure effects are rarely controlled for in empirical consumption functions. Our findings suggest that they should. By analysing Norwegian quarterly time series data we find that changes in the age distribution of the population have significant and life cycle consistent effects on aggregate consumption. Furthermore, controlling for age structure effects stabilizes the other parameters of the consumption function and reveals significant real interest rate effects.

show abstract

Section: Cointegration and Exogeneitymentioning

confidence: 99%

Consumption and population age structure

Erlandsen¹,

Nymoen

2006

J Popul Econ

View full text Add to dashboard Cite

show abstract

“…We formally test this assumption following the procedure in Johansen (1992) and Harbo et al (1998). Thus, we …rst estimate the 27 VARX*(s i ; s i ) models separately under the assumption that the foreign and common variables are weakly exogenous and then run the following regression for each lth element of x it…”

mentioning

confidence: 99%

Country-specific oil supply shocks and the global economy: A counterfactual analysis

Mohaddes

Pesaran

2016

Energy Economics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy to illustrate how our multi-country approach to modelling oil markets can be used to identify country-specific oil-supply shocks. On the empirical side, estimating the GVAR-Oil model for 27 countries/regions over the period 1979Q2 to 2013Q1, we show that the global economic implications of oil-supply shocks (due to, for instance, sanctions, wars, or natural disasters) vary considerably depending on which country is subject to the shock. Terms of use: Documents in EconStor may

show abstract

“…In addition, three centred seasonal dummies CS' s and two impulse dummies, i81q1 and i86q1, were included to control for seasonal effects and to remedy violations of the (standard) assumptions about the residuals. Furthermore, a deterministic trend was included to safeguard against invalid inference on the cointegrating rank (Harbo et al, 1998). Table 1 reports the outcome of tests for residual misspecification.…”

Section: A Linear Modelmentioning

confidence: 99%

“…We next tested for cointegration using the Johansen (1995) procedure, within a system that restricted ulc t−1 , nh, nis t−1 , (d − k ) t−1 and the deterministic trend to the cointegration space, while the short run effects of variables (listed above), constant term and the dummy variables were entered unrestricted (Harbo et al, 1998). Table 2 reports the relevant eigenvalues and the associated trace (Tr ) statistics employed in testing the hypothesis of (r − 1) versus r cointegration vectors.…”

Section: Cointegrationmentioning

confidence: 99%