Results 11 to 20 of about 23,337 (310)
Explaining Cointegration Analysis: Part II [PDF]
The Energy Journal, 2001 We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration ...
Hendry, David F., Juselius, Katarina
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient [PDF]
Econometrics, 2019 We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference.
David H. Bernstein, Bent Nielsen
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Cointegration analysis with state space models [PDF]
AStA Advances in Statistical Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wagner, Martin
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Nonparametric cointegration analysis [PDF]
Journal of Econometrics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bierens, H.J.
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Omitted variables in cointegration analysis [PDF]
, 2003 This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991). We show that underspecification of the statistical model leads to either failure in detecting cointegration or underestimation of the cointegrating rank.
Pashourtidou, Nicoletta
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A Cointegration Analysis of Wool Prices
, 2000 Based on cointegration analysis and monthly data from 1976.8 to 1999.10, a long-run equilibrium relationship was found to exist between prices for wools of 19 to 23 microns, despite the wool Reserve Price Scheme operated until February 1991. Furthermore, the prices for 19, 20 and 21 micron wools were found to be weakly exogenous.
Chang, Hui-Shung (Christie)
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Numerically stable cointegration analysis [PDF]
Computational Statistics & Data Analysis, 2002 The authors discuss the cointegration in non-stationary time series and their statistical analysis using vector autoregression. Restricting on a reduced rank situation the analysis can be performed using maximum likelihood methods that require the solution of a generalized eigenproblem.
Jurgen, A. Doornik, O'Brien, R.J.
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Likelihood analysis of seasonal cointegration [PDF]
Journal of Econometrics, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Johansen, Søren, Schaumburg, Ernst
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Semiparametric fractional cointegration analysis [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
D Marinucci, Peter M Robinson
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Exogeneity, Cointegration, and Economic Policy Analysis [PDF]
International Finance Discussion Papers, 1998 This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general; and these concepts are then applied to the use of econometric models in policy analysis when the ...
Neil R. Ericsson +2 more
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