Results 11 to 20 of about 58,428 (305)
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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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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COINTEGRATION AND UNIT ROOTS [PDF]
Journal of Economic Surveys, 1990 Abstract. This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non‐stationary variables which seem to characterise faithfully the properties of many macroeconomic time series.
Dolado, J +2 more
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COINTEGRATION AND COMMON FACTORS [PDF]
Journal of Time Series Analysis, 1994 Abstract. Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series. J. Am. Statist. Assoc. 82 (1987), 836–43).
Escribano, Alvaro, Peña, Daniel
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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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Regime-switching cointegration [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2014 Abstract We 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 ...
Jochmann, Markus, Koop, Gary
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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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COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES
Econometric Theory, 2022 We extend the notion of cointegration for time series taking values in a potentially infinite dimensional Banach space. Examples of such time series include stochastic processes in$C[0,1]$equipped with the supremum distance and those in a finite dimensional vector space equipped with a non-Euclidean distance.
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THE POWER OF COINTEGRATION TESTS [PDF]
Oxford Bulletin of Economics and Statistics, 1992 A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test
Jeroen J. M. Kremers +2 more
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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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