Results 261 to 270 of about 23,114,135 (294)

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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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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Cointegration analysis in the presence of outliers [PDF]

The Econometrics Journal, 2004
Summary: The effects of innovational outliers and additive outliers in cointegrated vector autoregressive models are examined and it is analyzed how outliers can be modelled with dummy variables. A Monte Carlo simulation illustrates that additive outliers are more distortionary than innovational outliers, and misspecified dummies may distort inference ...
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The environmental consequences of blockchain technology: A Bayesian quantile cointegration analysis for Bitcoin

, 2021
M. Polemis, M. Tsionas
semanticscholar   +1 more source

Irrelevant variables in cointegration analysis [PDF]

, 2003
We investigate analytically and via Monte Carlo simulations the effects of the inclusion of irrelevant variables in the statistical model, on the cointegration analysis of Johansen (1988, 1991). We show that overspecifying the statistical model does not affect inference about the cointegrating rank, as Johansen (1996, p. 42) suggests. Estimators of the
Pashourtidou, Nicoletta, O'Brien, Raymond   +1 more
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Semiparametric Frequency Domain Analysis of Fractional Cointegration

2003
Abstract Cointegration analysis has developed as a major theme of time series econometrics since the article of Engle and Granger (1987), much applied interest prompting considerable methodological and theoretical development during the past decade. Numerous empirical studies have investigated the possibility of cointegration in areas of
D Marinucci, Peter M. Robinson
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A cointegration analysis of petroleum futures prices

Energy Economics, 1994
Abstract This paper presents evidence concerning the number of common stochastic trends in a system of three petroleum futures prices (crude oil, heating oil and unleaded gasoline) using daily data from 3 December 1984 to 30 April 1993. Johansen's maximum likelihood approach for estimating long-run relations in multivariate vector autoregressive ...
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Outlier Detection in Cointegration Analysis

Journal of Business & Economic Statistics, 1998
Franses, Philip Hans, Lucas, A (André)
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