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Essays on Fractional Filters and Co-Integration

, 2017
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On the Definitions of (Co‐)integration

Journal of Time Series Analysis, 1999
Two 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, 1987
Abstract 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, 1992
To 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, A, Cowper, R, Wallace, G, Wright, J P, Simons   +4 more
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Co‐Integration

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, Juan J. Dolado, John W. Galbraith, David F. Hendry   +3 more
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Co‐Integration in Individual Equations

1993
AbstractExamines 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, Juan J. Dolado, John W. Galbraith, David F. Hendry   +3 more
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Co‐Integration in Systems of Equations

1993
AbstractCo‐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, Juan J. Dolado, John W. Galbraith, David F. Hendry   +3 more
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Co-integration constraint and forecasting: An empirical examination

Journal of Applied Econometrics, 1996
Does 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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Determinants of Inflation in Nigeria: A Co- Integration Approach

2010
Inflation 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, Olatunji, G.B., Omotesho, O.A., Ayinde, Kayode   +3 more
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