Results 131 to 140 of about 115,443 (288)
Bayesian Inference in the Time Varying Cointegration Model* [PDF]
There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration ...
Gary Koop +2 more
core +3 more sources
Unbalanced Cointegration [PDF]
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposite to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders ...
Javier Hualde
core
Forecasting Carbon Prices: A Literature Review
Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis +2 more
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
core
Detecting Sparse Cointegration
We propose a two-step procedure to detect cointegration in high-dimensional settings, focusing on sparse relationships. First, we use the adaptive LASSO to identify the small subset of integrated covariates driving the equilibrium relationship with a target series, ensuring model-selection consistency.
Gonzalo, Jesús, Pitarakis, Jean-Yves
openaire +3 more sources
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, Volume 47, Issue 2, Page 331-344, March 2026.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
wiley +1 more source
Modelling the Impacts of Climate Change on Agriculture Production in East Africa: Evidence from Heterogeneous Panel Cointegration Analysis [PDF]
, 2022 Abdikafi Hassan Abdi +2 more
openalex +1 more source
Real and Monetary Convergence within the European Union and Between the European Union and Candidate Countries: A Rolling Cointegration Approach [PDF]
We use rolling cointegration to measure the convergence of base money, M2, the consumer price index and industrial output between two reference countries, Germany and France, and recent EU members and some transition economy candidates.
Ali M. Kutan, Josef C. Brada, Su Zhou
core
Speed of Adjustment in Digital Assets in a Decentralized Financial World
Journal of Futures Markets, Volume 46, Issue 2, Page 320-333, February 2026.ABSTRACT This paper investigates the stability and co‐movement of cryptocurrency assets in Decentralized Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long‐run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi ...
Jeremy Eng‐Tuck Cheah +3 more
wiley +1 more source
Foreign Aid and Economic Growth: A Panel Cointegration for Selected Turkic Republics
, 2016 Hasret Balcıoğlu
openalex +2 more sources