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Co‐Integration in Individual Equations
1993AbstractExamines methods of testing for co‐integration in single equations via static regressions, and provides simulation estimates of the percentiles of the distributions of statistics used in these tests. The finite‐sample biases of the estimates of the co‐integrating vectors and powers of the tests based on static regressions are discussed within ...
Anindya Banerjee +3 more
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Manufacturing Stocks: Expectations, Risk and Co-Integration
The Economic Journal, 1990The modelling of firms inventory behaviour has been plagued by structural instability and despite a great deal of research effort over recent years little headway has yet been made in producing a structurally stable model of stock levels. Wallis et al. (I987) surveyed the main UK models of inventory behaviour and concluded that 'the tests of predictive
Callen, T S, Hall, S G, Henry, S G B
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Co‐Integration in Systems of Equations
1993AbstractCo‐integration in systems of equations is analysed. Linear co‐integrated systems are expressed in error‐correction form and maximum likelihood estimation and inference for co‐integrating vectors are discussed, focusing on the approach proposed by Johansen (1988).
Anindya Banerjee +3 more
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Sectoral Money Demand: A Co-Integration Approach
The Review of Economics and Statistics, 1994The major emphasis in previous money demand studies has been at the aggregate level, with little systematic attention paid to sectoral differences in money holding behavior. This paper attempts to address the latter issue by focusing on more homogeneous subgroups to gauge money holding patterns.
Jain, Parul, Moon, Choon-Geol
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Sites for co-integration of large staphylococcal plasmids
Gene, 1995Site-specific recombination is thought to play an important role in the evolution of multi-resistant plasmids in bacteria, including the human pathogen Staphylococcus aureus (Sa). A mechanism for site- and orientation-specific recombination between large Sa plasmids was identified in Sa strain 1054.
M, Sohail, K G, Dyke
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Co-integration constraint and forecasting: An empirical examination
Journal of Applied Econometrics, 1996Does co-integration help long-term forecasts? In this paper, we use simulation, real data sets, and multi-step-ahead post-sample forecasts to study this question. Based on the square root of the trace of forecasting error-covariance matrix, we found that for simulated data imposing the ‘correct’ unit-root constraints implied by co-integration does ...
Lin, Jin-Lung, Tsay, Ruey S
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Option Valuation with Co-integrated Asset Prices
SSRN Electronic Journal, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Duan, Jin-Chuan, Pliska, Stanley R.
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Co-integration and Error Correction: Representation, Estimation, and Testing
Econometrica, 1987Abstract The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x,tfirst achieves stationarity after differencing, but a linear combination α ′x, is ...
Engle, Robert F, Granger, Clive W J
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Are saving and investment co-integrated?
Economics Letters, 1988Abstract The observation of a strong positive correlation between national saving and domestic investment rates calls into question the assumption of highly-mobile international capital. I re-examine the question of a high correlation by considering the time-series relationship between national saving and domestic investment rates in the U.S., using ...
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Co-integration of optoelectronics and submicrometer CMOS
IEEE Transactions on Components, Hybrids, and Manufacturing Technology, 1993The rapid emergence of multichip modules (MCMs) and the continuing interest in wafer scale integration (WSI) provide important opportunities for successful insertion of high performance optical interconnections into real systems. The large area substrates and the distances between packaged wafer-level modules introduce distances of sufficient length ...
S.K. Tewksbury +3 more
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