Browsing by Subject "Unit roots"
Now showing items 1-3 of 3
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Article
Nonlinearity Induced Weak Instrumentation
(2014)In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
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Article
Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited
(1999)The aim of this paper is twofold: First, it shows that: (a) sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved. ...
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Article
Unit roots and long-run causality: Investigating the relationship between output, money and interest rates
(1998)In this article we show that sufficient conditions for the unit roots found in the AR representations of time series to persist in bivariate or trivariate VARs amount to long-run non-causality restrictions among the variables ...