This paper provides a selective survey of the recent literature dealing with I (2) variables in
economic time series, that is, processes that require to be differenced twice in order to …

Since the notion of cointegration was established by Engel and Granger (1987), many
statistical methods have been suggested to estimate and test cointegrated models …

This valuable text provides a comprehensive introduction to VAR modelling and how it can
be applied. In particular, the author focuses on the properties of the Cointegrated VAR …

This article analyzes the empirical relationship between inflation and the budget deficit for
the Turkish economy by a multivariate cointegration analysis. A single-equation model …

The long-run foreign transmission effects are analyzed in a multivariate time-series model of
Danish and German prices, exchange rates and interest rates. The analysis of the likelihood …

This article develops an empirically constant, data-coherent, error-correction model for
inflation in Australia. The level of consumer prices is a markup over domestic and import …

UK inflation has varied greatly in response to many economic policy and exchange‐rate
regime shifts, two world wars and two oil crises, as well as legislative and technological …

During the global food crisis, Ethiopia experienced an unprecedented increase in inflation,
among the highest in Africa. Using monthly data over the past decade, we estimate models …

Macroeconometric models, in many ways the flagships of the economist's profession in the
1960s, came under increasing attack from both theoretical economist and practitioners in the …

This overview examines conditions for reliable economic policy analysis based on
econometric models, focusing on the econometric concepts of exogeneity, cointegration …