Autor: Majsterek, Michał - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Cointegration Analysis in the Case of I(2) – General Overview
Autorzy:: Majsterek, Michał
Powiązania:: https://bibliotekanauki.pl/articles/483337.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: cointegration
I(2) model
VAR
Opis:: The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 4; 215-252
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case
Autorzy:: Majsterek, Michał
Gosińska, Emilia
Powiązania:: https://bibliotekanauki.pl/articles/2075267.pdf
Data publikacji:: 2020
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: structural change
DGP
cointegration
VAR model
Opis:: The paper analyses the consequences of structural change in the presence of non-stationary stochastic processes I(1) or I(2). The structural change may concern the deterministic structure (in particular, the trend and the constant term) as well as the process generating the stochastic part. The focus of the paper is on the case of a discrete change in a regime for which the moment of switch is known. A change in the deterministic part does not alter the character of the cointegration relationships but its consequences for cotrending and cobreaking are interesting. The consequences of a change in the stochastic part are more complex, because then the stochastic process as well as the deterministic structure of the VECM are modified. The restrictions are analysed for both cases.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2020, 4; 317-345
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

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