Results 21 to 30 of about 43,332 (309)
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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Internet Usage, Economic Growth and Electricity Consumption: The Case of EU-15
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 The purpose of this study is to examine the impacts of internet usage and economic growth on electricity consumption in EU-15 countries. In this study using panel cointegration test developed by Westerlund and Edgerton (2007), the existence of a ...
Mustafa Kırca, Ömer Akkuş
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Remote Sensing, 2022 This paper aims to both fit and predict crop biophysical variables with a SAR image series by performing a factorial experiment and estimating time series models using a combination of forecasts.
Ana E. Sipols +4 more
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Spatial Market Integration: A Case Study of the Polish–Czech Milk Market
Economies, 2022 Analyses of spatial market integration contributes to the knowledge about market efficiency and provides information to policymakers, as the spatial integration of markets contributes to competitiveness and economic development.
Monika Roman +1 more
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Universal Cointegration and Its Applications
iScience, 2019 Summary: Cointegration focuses on whether the long-term linear relationship between two or more time series is stationary even if this linear relationship does not exist or is not strong for the short term.
Chengyi Tu, Ying Fan, Jianing Fan
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Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
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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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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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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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Forecasting Real GDP Growth for Africa
Econometrics, 2022 We propose a simple and reproducible methodology to create a single equation forecasting model (SEFM) for low-frequency macroeconomic variables. Our methodology is illustrated by forecasting annual real GDP growth rates for 52 African countries, where ...
Philip Hans Franses, Max Welz
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