Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates [PDF]
, 2002 Chris Brooks, Alistair G. Rew
openalex +1 more source
Temporal and interaction dynamics of dengue cases, entomological and meteorological variables in Melaka, Malaysia: A multivariate time series analysis. [PDF]
PLoS OneAlipitchay S +6 more
europepmc +1 more source
Geopolitical Risk and Energy Markets: Past, Present, and Future
Journal of Economic Surveys, EarlyView.ABSTRACT Due to the most recent geopolitical events, such as the Russia–Ukraine conflict and the war between Israel and Hamas, geopolitical risk (GPR) and energy markets have been at the forefront of the academic debate. To identify the evolution of the literature inherent to GPR and energy markets, we conduct a meta‐literature review—that is ...
Laura Chiaramonte +3 more
wiley +1 more source
A Direct Test for Cointegration Between a Pair of Time Series [PDF]
, 2002 Stephen J. Leybourne +3 more
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Research on dynamic measurement and coupling coordination of traditional industrial transformation under the background of zero waste cities in China. [PDF]
Sci RepLi X, Tang Y, Zhong R.
europepmc +1 more source
A note on Johansen's rank conditions and the Jordan form of a matrix
Journal of Time Series Analysis, EarlyView.This note presents insights on the Jordan structure of a matrix which are derived from an extension of the I(1) and I(2) conditions in Johansen (1996). It is first observed that these conditions not only characterize, as it is well known, the size (1 or 2) of the largest Jordan block in the Jordan form of the companion matrix but more generally the ...
Massimo Franchi
wiley +1 more source
Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model
, 2000 Miguel A. Arranz, Álvaro Escribano
openalex +2 more sources
An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports [PDF]
, 2002 Heino Bohn Nielsen
openalex +1 more source
Accessing the role of tourism, renewable energy, and green finance in shaping the sustainable future. [PDF]
Sci RepCai X, Aljofan A.
europepmc +1 more source
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, EarlyView.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