Results 191 to 200 of about 7,306 (214)
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Seasonal Integration and Cointegration*
Journal of Econometrics, 1990Abstract Abstract. This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values.
Hylleberg, Svend +3 more
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Time-varying cointegration, identification, and cointegration spaces
Studies in Nonlinear Dynamics and Econometrics, 2013Summary: We derive the conditions under which time-varying cointegration leads to cointegration spaces that may be time-invariant or, in contrast, time-varying. The model of interest is a vector error correction model with arbitrary time-varying cointegration parameters. We clarify the role of identification and normalization restrictions and show that
Martins, LF, Gabriel, VJ
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Econometric Reviews, 1994
The three invited papers in this special issue of Econometric Reviews on "Cointegrated Systems II" complement the previous special issue of the journal. The paper by Eric Zivot and Peter Phillips provides a comprehensive Bayesian analysis of trend determination in economic time series.
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The three invited papers in this special issue of Econometric Reviews on "Cointegrated Systems II" complement the previous special issue of the journal. The paper by Eric Zivot and Peter Phillips provides a comprehensive Bayesian analysis of trend determination in economic time series.
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Monitoring cointegration in systems of cointegrating relationships
Econometrics and Statistics, 2023Etienne Theising, Dominik Wied
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