Published papers

Testing for cononlinearity (2014)
Studies in Nonlinear Dynamics & Econometrics, DOI: 10.1515/snde20130092
Abstract:
This article introduces the concept of cononlinearity. Cononlinearity is an example of a common feature in time series [Engle, Robert F., and Sharon Kozicki. 1993. “Testing for Common Features.” Journal of Business & Economic Statistics 11 (4): 369–380] and an extension of the concept of common nonlinear components [Anderson, Heather M., and Farshid Vahid. 1998. “Testing Multiple Equation Systems for Common Nonlinear Components.” Journal of Econometrics 84 (1): 1–36]. If some time series follow a nonlinear process but where a linear relationship between the levels of these series removes the nonlinearity, such a relationship is defined as cononlinear. In this article I show how ...
Posted Nov 10, 2014, 2:42 AM by Håvard Hungnes

Identifying Structural Breaks in Cointegrated Vector Autoregressive Models (2010)
Oxford Bulletin of Economics and Statistics 72(4):551565. DOI: 10.1111/j.14680084.2010.00586.x Abstract: This article suggests an alternative formulation of the cointegrated vector autoregressive (VAR) model such that the coefficients for the deterministic terms have straightforward interpretations. These coefficients can be interpreted as growth rates and cointegration mean level coefficients and express longrun properties of the model. For example, the growth rate coefficients tell us how much to expect (unconditionally) the variables in the system to grow from one period to the next, representing the underlying (steady state) growth in the variables. The estimation of the proposed formulation is made operationally in GRaM, which is a program for Ox Professional. GRaM can ...
Posted Jun 16, 2010, 7:49 AM by Håvard Hungnes

A demand system for input factors when there are technological changes in production (2011)
Empirical Economics (2011) 40581600. DOI: 10.1007/s0018101060346y
Abstract: In a system with n input factors there are n − 1 independent cost shares. An oftenused approach in estimating factor demand systems is to (implicitly or explicitly) assume that there is a (independent) cointegrating relationship for each of the n − 1 independent cost shares. However, due to technological changes, there might not be as many cointegrating relationships as there are (independent) cost shares. This article presents a flexible demand system that allows for both factor neutral technological changes as well as technological changes that affect the relative use of the different factors. The empirical tests indicate that there are fewer cointegrating relationships than usually ...
Posted Apr 1, 2011, 4:26 AM by Håvard Hungnes

The Commodity Currency Puzzle (2008)
The IUP Journal of Monetary Economics 6.2: 730. http://www.iupindia.in/508/ijmoe.asp (Joint work with Hilde C. Bjørnland.) Abstract: This paper addresses the purchasing power parity (PPP) puzzle for commodity currencies. In particular, we analyze the real exchange rate behavior in Norway, which has a primary commodity (oil) that constitutes the majority of its exports. A substantial part of the literature on commodity currencies has found that, despite controlling for theeffect of commodity prices, PPP does not hold in the long run. We show that once we also control for the effect of the interest rate differential in the real exchange rate relationship, the deviations from PPP are fully accounted for. Furthermore, with the ...
Posted Mar 25, 2011, 6:49 AM by Håvard Hungnes

The importance of interest rates for forecasting the exchange rate (2006)
Journal of Forecasting 25.3: 209221. DOI: 10.1002/for.983. (Joint work with Hilde C. Bjørnland.)
Abstract: This study compares the forecasting performance of a structural exchange rate model that combines the purchasing power parity condition with the interest rate differential in the long run, with some alternative exchange rate models. The analysis is applied to the Norwegian exchange rate. The longrun equilibrium relationship is embedded in a parsimonious representation for the exchange rate. The structural exchange rate representation is stable over the sample and outperforms a random walk in an outofsample forecasting exercise at one to four horizons. Ignoring the interest rate differential in the long run, however, the structural model no longer outperforms ...
Posted Apr 28, 2010, 5:39 AM by Håvard Hungnes
Working papers

Fractionality and cofractionality between Government Bond yields
In a cofractional vector autoregressive (VAR) model two more parameters are estimated, compared
to the traditional cointegrated VAR model. The increased number of parameters that needs to be
estimated ...
Posted Aug 5, 2016, 4:18 AM by Håvard Hungnes

Testing for cononlinearity (2012)
This article introduces the concept of cononlinearity. Cononlinearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist ...
Posted Jul 12, 2012, 12:14 AM by Håvard Hungnes

Identifying the deterministic components in cointegrated VAR models using GRaM for Ox Professional – User manual and documentation (2006)
http://www.hungnes.net/GRaM
Posted Apr 25, 2010, 8:37 AM by Håvard Hungnes

Fundamental Determinants of the long run Real Exchange Rate: The case of Norway (2002)
Discussion Paper No 326, Statistics Norway. (Joint paper with Hilde C. Bjørnland) http://www.ssb.no/publikasjoner/pdf/dp326.pdf
Posted Apr 25, 2010, 8:35 AM by Håvard Hungnes

Private Investments in Norway and the User Cost of Capital (2002)
Documents 2002/13, Statistics Norway. http://www.ssb.no/english/subjects/09/90/doc_200213_en/doc_200213_en.pdf
Posted Apr 25, 2010, 8:33 AM by Håvard Hungnes

Causality in Macroeconomics  Identifying Causal Relationships from Policy Instruments to Target Variables (2002)
Documents 2002/14, Statistics Norway. http://www.ssb.no/english/subjects/00/90/doc_200214_en/doc_200214_en.pdf
Posted Apr 25, 2010, 8:32 AM by Håvard Hungnes

Restricting Growth Rates in Cointegrated VAR Models (2002)
revised version of Discussion Paper No 309, Statistics Norway. http://www.hungnes.net/DP309rev.pdf
Posted Apr 25, 2010, 8:30 AM by Håvard Hungnes

