Our proposed local vector autoregressive (LVAR) model has timevarying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local interval is identified in a sequential testing procedure. Numerical analysis and real data application are co...

This paper uses Granger non–causality tests to analyze if channel competition exists between the companion websites of 93 German newspapers observed between I/1998 and II/2005. It provides econometric evidence for significant negative effects of companion website traffic on the print circulation of national newspapers and for significantly positive effects on local newspapers, at least for the ...

This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating relationship for empirical modelling. The asymptotic and small sample properties of our tests are inv...

The standard approaches to estimating minimum variance hedge ratios (MVHRs) are mis-specified when futures prices are subject to price limits. This paper proposes a bivariate tobit-FIGARCH model with maturity effects to estimate dynamic MVHRs using single and multiple period approaches. Simulations and an application to a commodity futures hedge support the proposed approach and highlight the i...

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. This is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is drastically reduced when residuals are used....

This paper provides a comprehensive analysis of the interest rate pass-through euro area monetary policy to retail rates outside area, contributing literature on consequences unofficial financial euroisation and transmission channels spillovers. The results suggest that in long run, more than one third all euroised countries central, eastern south-eastern Europe (CESEE) are linked shadow rate. ...