Results 81 to 90 of about 1,719 (118)

Spectral Analysis of Fractionally Cointegrated Systems

SSRN Electronic Journal, 2002
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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
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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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Analysis of cointegrated VARMA processes

Journal of Econometrics, 1997
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Lütkepohl, Helmut, Claessen, Holger
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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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A cointegration analysis of dynamic externalities

Japan and the World Economy, 2010
Abstract This paper presents a cointegration analysis on the effects of dynamic externalities upon economic growth using time-series data from 1975 to 2003 on the one-digit industries of the Tokyo metropolitan area in Japan. Some new time-series econometric methods that have been recently developed to conduct unit root and cointegration tests are ...
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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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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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Recent Advances in Cointegration Analysis

2004
Abstract A small system of German economic variables consisting of the money stock M3, Gross National Product (GNP) and a bond rate is used to illustrate the power of cointegration analysis and the usefulness of some recently developed tools for this kind of analysis.
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