Results 271 to 280 of about 23,337 (310)

Statistical analysis of cointegration vectors

Journal of Economic Dynamics and Control, 1988
Abstract We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by id. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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Cointegration Analysis of Seasonal Time Series

Journal of Economic Surveys, 1998
This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be ...
Franses, Philip Hans, McAleer, Michael
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BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION

Econometric Theory, 2005
Summary: A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables ...
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Vertical price leadership: A cointegration analysis

Agribusiness, 2002
AbstractHere we detail a method to test whether or not retailers allow suppliers to set the wholesale price not only on the basis of the costs faced by the suppliers but also on the basis of consumer demand. Using standard theory, long‐run price relationships between the stages in the channel are derived.
Kuiper, W.E., Meulenberg, M.T.G.
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The Demand for Money in Canada: A Cointegration Analysis

International Economic Journal, 1996
In this Paper, using the techniques in cointegration theory, we find strong support for the existence of a long-run equilibrium relationship among money demand variables in Canada. Additionally, when the conventional partial adjustment model (PAM) is compared to the two-stage error correction model (ECM), the latter approach is found to perform better,
SHEKAR BOSE, HAFIZUR RAHMAN
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Spectral Analysis of Fractionally Cointegrated Systems

SSRN Electronic Journal, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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Cointegration analysis using M estimators

Economics Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Analysis of cointegrated VARMA processes

Journal of Econometrics, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lütkepohl, Helmut, Claessen, Holger
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Cointegration Analysis of the Advertising-Sales Relationship

The Journal of Industrial Economics, 1991
The examination of stochastic properties of the annual advertising and sales data from the Lydia Pinkham Company reveals that the series are cointegrated and, therefore, possess a long-run equilibrium condition. According to the estimates of the error correction model of the series, in the short-run advertising is found to be more responsive than sales
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