Palgrave Handbook of Econometrics: Applied Econometrics

372 The Long Swings Puzzle accordingly. Juselius (2006, Ch. 17) proposed the following interpretation: 1.β′xt+δ′xtasr dynamic l ...

Katarina Juselius 373 inflation rates have to react in a non-homogeneous manner if relative prices move persistently apart. Case ...

374 The Long Swings Puzzle Table 8.5 Determination of rank indices r p-r s 2 = 3 s 2 = 2 s 2 = 1 s 2 = 0 0 3 527.6 [110.9] 293.9 ...

Katarina Juselius 375 Table 8.6 The estimated short-run dynamic adjustment structure in the I( 2 )model ⎡ ⎢⎢ ⎢⎢ ⎣ ^2 p 1 t ^2 ...

376 The Long Swings Puzzle Ifαijδij<0 forj=1,...,r, then the acceleration rates,^2 xi,tare equilibrium error correcting to t ...

Katarina Juselius 377 1980 1985 1990 1995 –1.00 –0.75 –0.50 –0.25 0.00 0.25 0.50 0.75 1.00 The polynomially cointegrated relatio ...

378 The Long Swings Puzzle Changes in the nominal exchange rate either do not seem to have been signif- icantly responding to m ...

Katarina Juselius 379 empirically nearI( 2 )orI( 1 ), depending on whether the emphasis is on size or power. The estimatedα⊥ 2 s ...

380 The Long Swings Puzzle The hypothesis of long-run price homogeneity was adequately formulated as a test onτin theI( 2 )model ...

Katarina Juselius 381 the importance of first translating the basic assumptions of the theory model into testable assumptions on ...

382 The Long Swings Puzzle ...There is a fundamental problem: How do we come to our a priori knowl- edge? Most macroeconomists e ...

Katarina Juselius 383 Dennis, J., S. Johansen and K. Juselius (2005)CATS for RATS: Manual to Cointegration Analysis of Time Seri ...

384 The Long Swings Puzzle Juselius, K. and S. Johansen (2006) Extracting information from the data: a European view on empirica ...

9 Structural Time Series Models for Business Cycle Analysis Tommaso Proietti Abstract The chapter deals with parametric models f ...

386 Structural Time Series Models 9.7 Appendix C: State-space models and methods 426 9.7.1 The augmented Kalman filter 427 9.7.2 ...

Tommaso Proietti 387 The signal extraction problems relating to latent variables, such as the output gap, core inflation and the ...

388 Structural Time Series Models statistical revision), and discuss ways of dealing with them using the state-space methodology ...

Tommaso Proietti 389 known as a stationarity test and is discussed in Nyblom and Mäkeläinen (1983). The nonparametric extension ...

390 Structural Time Series Models θ=0,ytis a pure random walk, and then the current observation provides the best estimate of th ...

Tommaso Proietti 391 yearly and monthly time series is discussed in Ravn and Uhlig (2002) and Maravall and del Rio (2007). We no ...