Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal shortand long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean reversion is active only conditional on ce...

A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration vectors, the parameter space is not an inner product space and conventional Bayes estimators therefore stand without their usual decision theoretic foundation. W...

A hierarchical framework is proposed to address the issues of modeling different type of words in keyword spotting (KWS). Keyword models are built at various levels according to the availability of training set resources for each individual word. The proposed approach improves the performance of KWS even when no training speech is available for the keywords. It also suggests an easier way to co...

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In cointegrating regressions, available estimators and test statistics are nuisance parameter dependent. This paper addresses this problem as an identi…cation failure. We focus on set estimation of long-run coe¢ cients (denoted ). We check whether and to what degree popular estimation methods, speci…cally the Maximum Likelihood of Johansen (1995), Fully Modi…ed OLS [Phillips and Hansen (1990); ...

This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroeconomic dynamics. The ...

A contemporaneous linear combination of two or more time series is less persistent than the individual series. Engle and Granger (1987) allowed for both standard and fractional cointegration. Under standard cointegration, the memory parameter is reduced from 1 to 0, while under fractional cointegration the level of reduction need not be an integer thus is more general. Empirical examples includ...

We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widel...

We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widel...