Future developments in the study of cointegrated variables

Article Abstract:

Generalizations of the results of cointegration analysis are examined. the aim is to make the interpretation of cointegrated variables more realistic and useful. The usefulness of the variables can be improved through normalizations or rotations suggested either by empirical data properties or by statistical or economic theory. The shift to nonlinear specifications should be justified from important uses which rely on system non-linearity.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Analysis, Integration, Functional, Functional integration (Mathematics), Statistics (Mathematics), Instrumental variables (Statistics), Instrumental variables

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Econometric modelling of UK house prices using accelerated importance sampling

Article Abstract:

An analysis of steep rises in the price of houses in the UK between 1959 and 1982 is based on previous studies including 1984 models by Hendry. A Monte Carlo simulation is used to determine Maximum Likelihood for accurate results in spite of a small sample. In contrast to Hendry's model, excess demand became a random variable. However, resulting price change predictions were close to Hendry's.

Research, Models, Usage, Econometrics, Prices, Stochastic approximation

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