Titlebook: Contributions to Modern Econometrics; From Data Analysis t Ingo Klein,Stefan Mittnik Book 2002 Springer Science+Business Media Dordrecht 20

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https://doi.org/10.1007/978-3-642-57635-5rm and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are

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Manfred Schertler,Sascha Uelpenichg parameter. Nevertheless, it has become a standard tool for estimating trends and detrending economic time series. This chapter discusses an extension of the two-sided exponential smoothing filter as a possible alternative to the Hodrick-Prescott filter for difference-stationary data.

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https://doi.org/10.1007/978-3-642-57673-7plying recent developments in the field of multivariate cointegration analysis. In particular it draws heavily on the results obtained by Hall and his co-authors and follows similar modelling strategy. The analysis leads to the fully economically identified system representing long-run relationships

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Vernetztes Lernen mit digitalen Mediennterest rates should be integrated with cointegrating vector (1,-1). On the other hand, if the expectations hypothesis of the term structure (EHT) is true another equilibrium condition can be derived, namely that domestic short- and long- term interest rates should cointegrate with the vector (1,-1)

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