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Cointegration and the stabilizing role of exchange rates
, 2006 Annika Alexius, Erik Post
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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
The Journal of Finance, 1994ABSTRACTMultivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly ...
Baillie, Richard T, Bollerslev, Tim
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Canonical Cointegrating Regressions
Econometrica, 1992zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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1997
Abstract 9.1.1. As another important application of our method let us consider the problem of whether micro cointegration implies macro cointegration. We do not want to deal with the problem at a high level of generality. However, the reader will be easily convinced that our results, obtained in the two variable case, can be extended ...
Mario Forni, Marco Lippi
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Abstract 9.1.1. As another important application of our method let us consider the problem of whether micro cointegration implies macro cointegration. We do not want to deal with the problem at a high level of generality. However, the reader will be easily convinced that our results, obtained in the two variable case, can be extended ...
Mario Forni, Marco Lippi
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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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