Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests [PDF]
This paper examines the relationships between the Russian and other Central European (CE) and developed countries’ equity markets over the 1995-2004 period.
M. Lucey, Brian, Voronkova, Svitlana
core
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley +1 more source
On the information content of oil future prices
Economia Aplicada, 2003 This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices.
Benjamin Miranda Tabak
doaj
Fully Modified GLS Estimation for Seemingly Unrelated Cointegrating Polynomial Regressions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A new feasible generalized least squares estimator is proposed. Our estimator incorporates (1) the inverse autocovariance matrix of multidimensional errors, and (2) second‐order bias corrections. The resulting estimator has the intuitive interpretation of applying a weighted least squares objective function to filtered data series.
Yicong Lin, Hanno Reuvers
wiley +1 more source
A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006) [PDF]
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m-variate system the m-r th principal component is I (1) under the null of r cointegration rank but I (0) under the alternative of r+1 cointegration rank ...
Hiroaki Chigira
core
On Robustness to Random Breaks in Panel Data
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT One of the attractions of panel data is the ability to pool information regarding parameters that are common across the cross‐section. In fact, pooling is standard even though there are often reasons to believe that parameters are not common. One reason for this practice is that there is quite some evidence to suggest that estimators of common
Yousef Kaddoura, Joakim Westerlund
wiley +1 more source
The Nexus between Wind Energy Consumption, Economic Growth and Financial Development: Evidence from Panel Causality and Cointegration Test with Fourier Function [PDF]
, 2022 Feyyaz Zeren, Samet Gürsoy
openalex +1 more source
Dynamic cointegration and relevant vector machine: the relationship between gold and silver [PDF]
We use the Relevant Vector Machine, a technique of supervised learning introduced by Tipping (2001), to conduct a dynamic cointegration analysis on the time series of the price of gold and silver over the period 1971-2004.
Isabella Procidano +2 more
core
Econometric modelling for short-term inflation forecasting in the EMU. [PDF]
, 2004 Inflation forecasts are in great demand by agents in financial markets and monetary authorities that also require frequent updates. In the case of the EMU, these can be done monthly using Harmonised Indices of Consumer Prices (HICP).
Albacete, Rebeca, Espasa, Antoni
core +1 more source
Permanent Revenue in an Energy‐Exporting Economy: A New Test for Fiscal Equilibrium
Review of Development Economics, EarlyView.ABSTRACT Fiscal disequilibrium arises when permanent expenditures (PEXP) exceed permanent revenue (PREV), a frequent risk in energy‐exporting economies reliant on volatile windfall revenues. However, existing research lacks a clear measure of these concepts and an empirical test for fiscal equilibrium.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source