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On the Definitions of (Co‐)integration
Journal of Time Series Analysis, 1999Two problems exist in testing for (co‐)integration. One is that current definitions of fractional integration in the time domain can be incomplete. The other is that disregarding fractional orders of integration can cause incorrectly sized inference about cointegration.
Abadir, Karim M., Taylor, Robert A. M.
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Forecasting and Testing in Co-integrated Systems*
Journal of Econometrics, 1987Abstract This paper examines the behaviour of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983) and Engle and Granger (1987). It is established that a multi-step forecast will satisfy the co-integrating relation exactly and that this particular linear combination of forecasts will ...
Engle, Robert F., Yoo, Byung Sam
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Rescuing Transgene Expression by Co-Integration
Nature Biotechnology, 1992To test whether foreign gene expression can be improved in transgenic mice by manipulating the site of integration, we co-integrated the efficiently expressed sheep beta-lactoglobulin gene with two poorly expressed beta-lactoglobulin-derived hybrid genes encoding human proteins.
A J, Clark +4 more
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1993
AbstractThe key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of co‐integrated variables is stated and its proof is sketched.
Anindya Banerjee +3 more
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AbstractThe key concept of co‐integration of integrated time series is defined, and several examples are presented. An important theorem due to Granger on alternative representations of a system of co‐integrated variables is stated and its proof is sketched.
Anindya Banerjee +3 more
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Inference and Tests in Co-Integrated Models
2020 2nd International Conference on Mathematics and Information Technology (ICMIT), 2020This document is based on methods of cointegrating models by applying the two-step procedure of Engle-Granger (1987), the Phillip-Ouliaris (1988) residual-based test and Johansens multivariate technique(1988). The cointegration techniques are tested on the Prices3 data set using statistical software R.
Mohammed Bassoudi +1 more
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Searching co-integrated portfolios by a genetic algorithm
2009 World Congress on Nature & Biologically Inspired Computing (NaBIC), 2009Searching for portfolios co-integrated with an index offers new opportunities in designing robust investment strategies. The problem of finding optimal index co-integrated portfolios that are maximally stationary is combinatorial. Indeed, given a basket of equities, the portfolio/index co-integration cannot be simply expressed in terms of equity/index ...
Pravesh Kriplani, Luigi Troiano
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Determinants of Inflation in Nigeria: A Co- Integration Approach
2010Inflation is undeniable one of most leading and dynamics macroeconomics issues confronting almost all economies of the world. Its dynamism has made it an imperative issue to be considered. Hence the study examines the factors affecting inflation in Nigeria. Time series data were employed for the study.
Ayinde, Opeyemi Eyitayo +3 more
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