Results 21 to 30 of about 16,685 (283)
Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Econometrics, 2019 We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference.
David H. Bernstein, Bent Nielsen
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UNBALANCED COINTEGRATION [PDF]
Econometric Theory, 2006 Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposite to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders of integration of these series are allowed to take real values, but, as in the traditional framework,
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Nonparametric cointegration analysis [PDF]
Journal of Econometrics, 1997 In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of structural and/or nuisance parameters.
Herman J. Bierens, Herman J. Bierens
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Sacrifice rate and labor precariousness in Mexico, 2005Q1-2019Q4
Cuadernos de Economía, 2022 Since 1998, the Mexican economy has clearly presented six disinflationary episodes. We estimate seven Phillips curves, to evaluate the social cost in terms of the sacrifice rate in GDP, unemployment rate and in the Rate of Critical Labor Conditions ...
Eduardo Loría, Raúl Cossio
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Effects of the 2008 financial crisis on the linkages among the oil, gold, and platinum markets
Cogent Economics & Finance, 2020 To find out if gold remains to be unlinked with the crude oil market after the 2008 financial crisis, we investigated how long-run price linkages and price causalities among crude oil and gold markets changed before and after the crisis.
Kentaka Aruga, Sudha Kannan
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Long‐run predictability tests are even worse than you thought
Journal of Applied Econometrics, Volume 37, Issue 7, Page 1334-1355, November/December 2022., 2022 Summary We derive asymptotic results for the long‐horizon ordinary least squares (OLS) estimator and corresponding t$$ t $$‐statistic for stationary autoregressive predictors. The t$$ t $$‐statistic—formed using the correct asymptotic variance—together with standard‐normal critical values result in a correctly‐sized test for exogenous predictors.
Erik Hjalmarsson, Tamas Kiss
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COINTEGRATION AND COMMON FACTORS [PDF]
Journal of Time Series Analysis, 1994 Abstract. Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series. J. Am. Statist. Assoc. 82 (1987), 836–43).
Alvaro Escribano, Daniel Peña
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Some effects of lagged relationship on the cointegration inferences in small samples
Lietuvos Matematikos Rinkinys, 2004 A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is
Virmantas Kvedaras
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SSRN Electronic Journal, 2014 Cointegration analysis is used to estimate the long-run equilibrium relations between several time series. The coefficients of these long-run equilibrium relations are the cointegrating vectors. In this paper, we provide a sparse estimator of the cointegrating vectors.
Wilms, Ines, Croux, Christophe
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The Shadow Economy, Human Development and Foreign Direct Investment Inflows [PDF]
Journal of Competitiveness, 2020 to become an essential player in international economic relations and take a prominent place in the world market. In this context, foreign direct investment inflows are accepted as a source of competitiveness through knowledge, know-how and technology ...
Yilmaz Bayar +4 more
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