A macroeconometric model for the Euro economy
Christian Dreger
IWH Discussion Papers,
No. 181,
2003
Abstract
In this paper a structural macroeconometric model for the Eurozone is presented. In opposite to the multi country modelling approach, the model relies on aggregate data on the supra-national level. Due to nonstationarity, all equations are estimated in an error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two step Engle Granger procedure. The validity of the aggregated approach is confirmed by out-of-sample forecasts and two simulation exercises. In particular the implications of a lower economic recovery in the US and a shock in the nominal Euro area interest rate are discussed.
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Are Real Interest Rates Cointegrated? Further Evidence Based on Paneleconometric Methods
Christian Dreger, Christian Schumacher
Schweizerische Zeitschrift für Volkswirtschaft und Statistik 139,
2003
Abstract
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The development of company investments in Germany. An explanation with the help of the technique of seasonal co-integration
Christian Dreger, Hans-Ulrich Brautzsch
IWH Discussion Papers,
No. 93,
1999
Abstract
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