Results 11 to 20 of about 107,851 (292)
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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Cointegration Approach for Vibration-Based Misalignment Detection in Rotating Machinery Under Varying Load Conditions [PDF]
SensorsShaft misalignment is among the most common faults in rotating machinery, and although many diagnostic methods have been proposed, reliably detecting it under varying load conditions remains a major challenge for vibration-based techniques.
Sylwester Szewczyk +4 more
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Energies, 2023 Cointegration theory has been recently proposed for condition monitoring and fault detection of wind turbines. However, the existing cointegration-based methods and results presented in the literature are limited and not encouraging enough for the ...
Phong B. Dao
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Public Expenditures on Secondary Education and School Enrollment Rates: A Panel Pooled Group Mean Approach [PDF]
پژوهشهای برنامه و توسعه, 2023 The educational system in some less developed and developing countries, including Iran, are expensive, inefficient, and weak, which in turn weakens the accomplishment of their educational system.
Elham Fatholahi
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Наука Красноярья, 2023 The article presents an assessment of the cointegration of inflation and productivity indicators on the example of: Russia and UEMOA countries. As part of the study, an attempt was made to assess the presence of a long-term balance between the studied ...
Aleksandr V. Portnov +1 more
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Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia [PDF]
Global Journal Al-Thaqafah, 2017 This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014.
Jaafar Pyeman, Ismail Ahmad
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A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
Austrian Journal of Statistics, 2022 Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration ...
Saidat Fehintola Olaniran +1 more
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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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