Investigating time series properties of a dynamic system for Japan's import demand

This note aims to investigate time series properties of a dynamic system for Japan's aggregate import demand. A multivariate cointegration analysis of Japanese data reveals a stable economic linkage interpretable as a long-run import demand function. A vector equilibrium correction system is then estimated, which exhibits short-run and long-run interdependent relationships between aggregate import demand and the ratio of import price to domestic price level.Aggregate Import Demand, Cointegration, Vector Equilibrium Correction System.

A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes

This note investigates the behaviour of a parameter-constancy test statistic when near I(2) (integrated of order 2) variables are incorporated in a cointegrated vector autoregressive system. Simulation studies indicate that the presence of such variables has a significant impact on size properties of the constancy test.Parameter Constancy, Cointegraed Vector Autoregression, Near I(2) Variable.

A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis

This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied only marginally.Cointegrating Vector, Small Sample, Bartlett Correction, Recursive Monte Carlo Experiment.