On the robustness of cointegration tests when series are fractionally integrated [PDF]
Econometric Theory, 1996 This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
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Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach [PDF]
International Journal of Management Studies, 2007 This article examines the possible long-run association between residential mortgage securitisation and yield spread for residential mortgage rates in the Malaysian primary markets.
Mukaramah Harun, Yusuf Haji Othman
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Cointegration Tests Using Instrumental Variables
International Journal of Empirical Economics, 2022 This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of our tests is that the asymptotic distribution remains standard normal (or Chi-square) regardless of the number of regressors, differing ...
Junsoo Lee, Ali Yucel
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A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
Austrian Journal of Statistics, 2022 Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration ...
Saidat Fehintola Olaniran +1 more
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LINKS BETWEEN SMP PRICES IN POLAND AND SELECTED FOREIGN MARKETS [PDF]
Annals of the Polish Association of Agricultural and Agribusiness Economists, 2020 The aim of the paper was to determine the links between SMP prices in Poland and SMP prices in selected countries. The article uses secondary data for the monthly price of butter at a level of countries collected by the Milk Market Observatory and the ...
Joanna Domagała
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Is poverty another cause of cancer? An empirical analysis [PDF]
World Cancer Research Journal, 2019 Objective: Cancer is the most important public health issue of the century and a serious economic burden on a global scale. Economic crises that have begun to be globally experienced, accompanied by unemployment, labor, and income loss, as the process is
G. Çiğdem
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Some effects of lagged relationship on the cointegration inferences in small samples
Lietuvos Matematikos Rinkinys, 2004 A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is
Virmantas Kvedaras
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The Relationship between Financial Development, Trade Openness and Economic Growth in Turkey: Evidence from Fourier Tests [PDF]
Statistika: Statistics and Economy Journal, 2022 In this study, the effects of financial development and trade openness on economic growth were investigated using annual data for Turkey over the period 1960–2017.
Havanur Ergün Tatar +2 more
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Polynomial cointegration tests of anthropogenic impact on global warming [PDF]
Earth System Dynamics, 2012 We use statistical methods for nonstationary time series to test the anthropogenic interpretation of global warming (AGW), according to which an increase in atmospheric greenhouse gas concentrations raised global temperature in the 20th century ...
M. Beenstock, Y. Reingewertz, N. Paldor
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
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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