Results 201 to 210 of about 25,351,427 (247)

Analysis of cointegrated VARMA processes

Journal of Econometrics, 1997
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Lütkepohl, Helmut, Claessen, Holger
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Cointegration analysis using M estimators

Economics Letters, 2001
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Fisher Hypothesis Revisited: A Fractional Cointegration Analysis [PDF]

Emerging Markets Finance and Trade, 2006
This paper investigates the validity of the Fisher hypothesis using data from thirtythree developed and developing countries. Conventional cointegration tests do not provide strong evidence for a relation between nominal interest rates and inflation. Therefore, we use fractional cointegration analysis to test the long-run relationship between the two ...
Saadet Kirbas Kasman, Adnan Kasman, Evrim Turgutlu   +2 more
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A fractional cointegration var analysis of exchange rate dynamics

, 2020
In their seminal work, Baillie and Bollerslev (1994) carried out an analysis of deviations from the cointegrating relationship of seven important exchange rates.
L. Gil‐Alana, Hector Carcel
semanticscholar   +1 more source

Spectral Analysis of Fractionally Cointegrated Systems

SSRN Electronic Journal, 2002
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Structural Analysis of Cointegrating VARs

Journal of Economic Surveys, 1998
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VARs) to examine their links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL), and Simultaneous Equations Models (SEMs).
M. Hashem Pesaran, Ron P. Smith
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Cointegration analysis of metals futures

Mathematics and Computers in Simulation, 2002
The London Metal Exchange (LME) is a centre for spot and futures trading in the main industrially-used non-ferrous metals. In this paper, the market for 3-month LME copper futures contracts is analysed. The risk premium hypothesis and the cost-of-carry (COC) model are the standard theoretical models for pricing futures contracts, but these two models ...
Watkins, Clinton, McAleer, Michael
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Time Series Analysis (Stationarity, Cointegration, and Causality)

Environmental Kuznets Curve (EKC), 2019
Recently, the literature of environmental economics witnesses a plethora of research to test the environmental Kuznets curve (EKC) which is based on the time series analysis. The researchers postulate that the time series analysis is more relevant in the
A. Jalil, N. Rao
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Dimensionality Effect in Cointegration Analysis

1999
Abstract During the past decade a considerable amount of research has focused on the issue of stochastic trends in economic variables and subsequently on whether such trends are common to some or all of the variables in question, a phenomenon known as cointegration (Granger, 1981; Engle and Granger, 1987).
Jesús Gonzalo, Jean-Yves Pitarakis
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Two Mixed Normal Densities from Cointegration Analysis

Econometrica, 1997
We derive explicitly the exact density functions of two key mixed normal variates that arise from cointegration analysis. We also plot them, and analyze their analytical features and implications.
ABADIR K., PARUOLO, PAOLO
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