Read more
Klappentext The monograph concentrates on recent developments in modelling economic processes on a macro level. It focuses on two main areas, namely, co-integration analysis and the use of high frequency time series. Special emphasis is put on testing, application of VEqCM models to I(1) as well as I(2) variables and structuralization of VAR. Zusammenfassung The monograph concentrates on recent developments in modelling economic processes on a macro level. It focuses on two main areas! namely! co-integration analysis and the use of high frequency time series. Special emphasis is put on testing! application of VEqCM models to I(1) as well as I(2) variables and structuralization of VAR. Inhaltsverzeichnis Preliminary. 1. Introduction. 2. Modelling volatility and its implications for economic integration (S. Hall! B. Becker! S. Gottschalk). 3. Inflation! money growth and the I(2) analysis (K. Juselius). 4. Recent developments in cointegration analysis (H. Luetkepohl). 5. Econometrics and economic policy analysis (G. Mizon). 6. Asymptotic and finite sample properties of the Dickey-Fuller test (S. Johansen). 7. Bayesian comparison of bivariate GARCH processes within the conditional ECM framework (J. Osiewalski! M. Pipien). 8. Financial processes in the transition economy: an application of SVEqCM (A. Welfe). 9. Optimal lag structure selection in VAR and VEC models (P. Winker! D. Maringer).
