Results 271 to 280 of about 546,924 (298)

Co-integration and Error Correction: Representation, Estimation, and Testing

Econometrica, 1987
Abstract 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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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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Inference and Tests in Co-Integrated Models

2020 2nd International Conference on Mathematics and Information Technology (ICMIT), 2020
This 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, El Mezouar Zouaoui CHIKR   +1 more
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Sites for co-integration of large staphylococcal plasmids

Gene, 1995
Site-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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Option Pricing for Co-Integrated Assets

2002
Many financial data series are known to be co-integrated. The implications of this for option valuation are studied in this article. Since co-integration is commonly considered in a discrete time context, here we take a GARCH option pricing approach. In the course of doing so, we present new theoretical results for a discrete time price process to be ...
Jin-Chuan Duan, Stanley R. Pliska
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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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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 of RF Energy Harvesting

2013
This chapter explores the possibilities for including an RF energy harvester with the previously presented TRX front-end. A fundamental problem that has to be resolved is the decoupling of the harvester from the TRX while using the same antenna. In the proposed architecture, the harvester is decoupled from the TX with an RF-switch that can be turned on
Jens Masuch, Manuel Delgado-Restituto
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CO‐INTEGRATING VAR MODELS AND ECONOMIC POLICY

Journal of Economic Surveys, 2012
AbstractThis paper surveys some relevant contributions to the economic literature on co‐integrating vector autoregressive (VAR) models [vector error correction mechanisms (VECMs)], emphasizing their usefulness for economic policy. It further discusses some theoretical aspects that are necessary for a complete understanding of their potential.
Francesco Carlucci, Francesco Montaruli
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Assessing European stock markets (co)integration

Economics Letters, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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