In diesem Beitrag wird der vergleichsweise neue Ansatz der „Strukturellen Vektorautoregression“ (SVAR) vorgestellt und anhand einfacher Beispiele illustriert. Auf der Basis der Theorie rationaler Erwartungen wird unterschieden, ...

In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the ...

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically ...

In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our ...

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two ...