Results 131 to 140 of about 106,356 (205)
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
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
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Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Intertemporal solvency of Turkey’s current account [PDF]
We test for sustainability of Turkey’s current account position between 1992 and 2007 using the intertemporal solvency model of Hakkio and Rush (1991) and Husted (1992).
Ayla Ogus, Niloufer Sohrabji
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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
Bayesian Inference in a Cointegrating Panel Data Model [PDF]
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation.
Gary Koop +2 more
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Unconventional Fiscal Policies in Response to Inflation: The Iberian Exception in Portugal
Scottish Journal of Political Economy, EarlyView.ABSTRACT The surge in Eurozone inflation in 2022 compelled European governments to implement unconventional fiscal policies. One initiative, the Iberian Exception, imposed a cap on the cost of natural gas used for electricity generation in Portugal and Spain.
Lourenço Cerdeira +2 more
wiley +1 more source
Journal of Forecasting, Volume 45, Issue 3, Page 1110-1128, April 2026.ABSTRACT Pairs trading, a popular algorithmic trading strategy, exploits the short‐term price difference (spread) between two comoving assets. Empirically, the spread distribution of most assets in pairs trading has a fat‐tail characteristic that does not follow a normal distribution.
Yuhee Kwon, Youngsoo Choi
wiley +1 more source
Determination of Cointegrating Rank in Fractional Systems [PDF]
This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity.
Peter M Robinson, Yoshihiro Yajima
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