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Information on the principal investigator and host institution

Information of the project and the call

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Modelling inflation processes in the presence of structural shocks: An application of nonlinear cointegrated VAR model with structural break

2021/41/B/HS4/04317

Keywords:

inflation structural break cointegration nonlinearity asymmetry fuel prices crude oil prices

Descriptors:

  • HS4_003:

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny

woj. łódzkie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Aleksander Krzysztof Welfe, czł. rzecz. PAN 

Number of co-investigators in the project: 3

Call: OPUS 21 - announced on 2021-03-15

Amount awarded: 288 130 PLN

Project start date (Y-m-d): 2022-02-02

Project end date (Y-m-d): 2025-02-01

Project duration:: 36 months (the same as in the proposal)

Project status: Project completed

Project description

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Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (4)
  1. The Cointegrated VAR Model with Deterministic Structural Breaks
    Authors:
    Emilia Gosińska, Aleksander Welfe
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2022, tom: 14, strony: 335-350), Wydawca: Polska Akademia Nauk
    Status:
    Published
    DOI:
    10.24425/cejeme.2022.142713 - link to the publication
  2. Speed of convergence to normality when regressors are nonstationary
    Authors:
    Łukasz Gątarek, Aleksander Welfe
    Academic press:
    Oxford Bulletin of Economics and Statistics (rok: 2025, tom: volume 87, issue 2, strony: 46031), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/obes.12675 - link to the publication
  3. A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?
    Authors:
    Anna Moenke, Aleksander Welfe
    Academic press:
    Journal of Economics and Statistics (rok: 2022, tom: 242/4, strony: 501-520), Wydawca: De Gruyter Oldenbourg
    Status:
    Published
    DOI:
    10.1515/jbnst-2022-0002 - link to the publication
  4. Progowy, skointegrowany model VAR ze zmianą strukturalną. Zastosowanie do analizy procesów cenotwórczych dóbr żywnościowych
    Authors:
    Emilia Gosińska, Katarzyna Leszkiewicz-Kędzior, Aleksander Welfe
    Status:
    Accepted for publication

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