Results 51 to 60 of about 60,696 (265)
Inappropriate Detrending and Spurious Cointegration [PDF]
The empirical literature is abundant with detrended cointegration, where cointegration relationships are tested and estimated with deterministic trend terms. Cointegration is, however, critically dependent on whether time series is detrended or not.
Heejoon Kang
core
Climate Risk and Real Estate Markets in the EU: Institutional Control Through Regulation
Business Strategy and the Environment, EarlyView.ABSTRACT Climate change is increasingly reshaping the economic foundations of asset markets, yet its implications for the estate sector remain unevenly understood, particularly when institutional and financial mechanisms mediate risk transmission. While a growing body of evidence links climate vulnerability to property valuation and market behaviour ...
Qiulin Yang +4 more
wiley +1 more source
This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is
David Neto, Jaya Krishnakumar
core
Business Strategy and the Environment, EarlyView.ABSTRACT The growing frequency of global crises has intensified concerns regarding climate vulnerability and the resilience of global production systems. This study examines the heterogeneous effects of supply chain development and supply chain digitalisation on climate vulnerability across countries, while accounting for institutional and investment ...
Ziwei Li +4 more
wiley +1 more source
Economic Determinants of Gasoline Prices: A Cointegration Analysis for Czechia
CommunicationsThe long-term relationships between the N95 ("Natural 95") gasoline prices and economic factors, such as Brent crude oil prices, diesel fuel prices, and the CZK/USD exchange rate from 2014 to 2024, was investigated within this research. The Engle-Granger
Jiří Alina, Jiří Nožička
doaj +1 more source
Cointegração e Descoberta de Preços de ADR Brasileiros [PDF]
RAC: Revista de Administração Contemporânea, 2009 This paper examines double-listing contribution for the price discovery of Brazilian stocks negotiated at the NYSE through ADRs. It examines whether the prices of stock/ADR pairs have their own common long term relation or, alternatively, whether the ...
Claudio Akira Kawamoto +1 more
doaj
Explaining Cointegration Analysis: Part II [PDF]
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs).
Katarina Juselius, David F. Hendry
core
Business Strategy and the Environment, EarlyView.ABSTRACT This paper examines the effect of digitalisation on carbon intensity in 44 countries from 2000 to 2024 using a principal component index that combines internet use, mobile connections and landline telephone ownership. The standard model uses a static Common Correlated Effects Mean Group (CCEMG) regression. Other specifications, such as CS‐ARDL(
Jifei Wei +2 more
wiley +1 more source
On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 1996 This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
core +1 more source
Cointegration Analysis with State Space Models [PDF]
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined.
Wagner, Martin
core