Add to ORKGThis paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321-335, 1992). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland
According to several empirical studies, the Present Value model fails to explain the behaviour of st...
In this study, we investigate the existence of long-term co-movements among the prices of commodity ...
Establishing the relation between oil price movements and macroeconomic performance is of great impo...
In the first essay, we propose a new Autoregressive Distributive Lag (ADL) cointegration test in the...
This review discusses methods of testing for a cointegration in a time series in the presence of str...
In this paper, we propose constructing confidence sets for a break date in cointegrating regressions...
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing ...
Time-series estimation of gasoline demand elasticities often does not take into account the possibil...
The purpose of this study is to examine whether crude oil spot and futures prices of the same and di...
The beginning of cointegration theory lies in the fact that a lot of financial and macroeconomic ser...
In previous studies concerning short and long run relationships for price-wage models, the cointegra...
We adopt time-series and cross-section methods to analyse long-term relationships between pairs of c...
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison amo...
In previous studies concerning short and long run relationships for price-wage models, the cointegra...
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison amo...
According to several empirical studies, the Present Value model fails to explain the behaviour of st...
In this study, we investigate the existence of long-term co-movements among the prices of commodity ...
Establishing the relation between oil price movements and macroeconomic performance is of great impo...
In the first essay, we propose a new Autoregressive Distributive Lag (ADL) cointegration test in the...
This review discusses methods of testing for a cointegration in a time series in the presence of str...
In this paper, we propose constructing confidence sets for a break date in cointegrating regressions...
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing ...
Time-series estimation of gasoline demand elasticities often does not take into account the possibil...
The purpose of this study is to examine whether crude oil spot and futures prices of the same and di...
The beginning of cointegration theory lies in the fact that a lot of financial and macroeconomic ser...
In previous studies concerning short and long run relationships for price-wage models, the cointegra...
We adopt time-series and cross-section methods to analyse long-term relationships between pairs of c...
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison amo...
In previous studies concerning short and long run relationships for price-wage models, the cointegra...
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison amo...
According to several empirical studies, the Present Value model fails to explain the behaviour of st...
In this study, we investigate the existence of long-term co-movements among the prices of commodity ...
Establishing the relation between oil price movements and macroeconomic performance is of great impo...