Results 11 to 20 of about 115,443 (288)
TIME-VARYING COINTEGRATION [PDF]
Econometric Theory, 2010 In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived.
Bierens, H., Martins, L. F.
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Regime-switching cointegration [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2015 AbstractWe develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g., Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime ...
Jochmann M, Koop G
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Asymmetric Price Transmission: A Case of Wheat in India
Agriculture, 2022 In the present paper, horizontal and vertical integration was carried out on the wholesale and retail prices of wheat in the major markets of India. On confirming cointegration between the wholesale and retail prices of wheat in all needs, the vector ...
Ranjit Kumar Paul, Tanmoy Karak
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Some effects of lagged relationship on the cointegration inferences in small samples
Lietuvos Matematikos Rinkinys, 2004 A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is
Virmantas Kvedaras
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Complexity, 2022 According to the definition of nonlinear cointegration, this article studies the small sample nonlinear cointegration test and NECM (Nonlinear Error Correction Model) based on the LS-SVM (Least Squares Support Vector Machine) optimized by PSO (Particle ...
Jungang Du
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UNBALANCED COINTEGRATION [PDF]
Econometric Theory, 2006 Summary: Recently, increasing interest in the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposed to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders of integration of these series are allowed to take real values, but, as in the traditional ...
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model [PDF]
SSRN Electronic Journal, 2018 We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment ...
Johansen, Søren +1 more
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Econometrics, 2019 We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference.
David H. Bernstein, Bent Nielsen
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Does inflation reduce remittance outflows in Saudi Arabia?
Cogent Economics & Finance, 2022 This study examines the potential relationship between inflation and remittance outflows in Saudi Arabia over the period 1971–2019 by applying the autoregressive distributed lag (ARDL) model.
Bashier Al-Abdulrazag, Musa Foudeh
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SSRN Electronic Journal, 2014 Cointegration analysis is used to estimate the long-run equilibrium relations between several time series. The coefficients of these long-run equilibrium relations are the cointegrating vectors. In this paper, we provide a sparse estimator of the cointegrating vectors.
Wilms, Ines, Croux, Christophe
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