Results 1 to 10 of about 15,639,744 (351)
Error-correction Mechanism Tests for Cointegration in a Single-equation Framework [PDF]
Journal of Time Series Analysis, 1998 A new test is proposed for cointegration in a single-equation framework where the regressors are weakly exogenous for the parameters of interest. The test is denoted as an error-correction mechanism (ECM) test and is based upon the ordinary least squares
Anindya Banerjee, Juan J Dolado
exaly +3 more sources
THE POWER OF COINTEGRATION TESTS [PDF]
Oxford Bulletin of Economics and Statistics, 1992 A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test
Jeroen J. M. Kremers +2 more
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Combining non‐cointegration tests [PDF]
Journal of Time Series Analysis, 2012 The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter.1 We ...
Bayer, Christian, Hanck, Christoph
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Residual-based tests for cointegration in models with regime shifts
Journal of Econometrics, 1996 In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of cointegration in ...
Allan W Gregory, Bruce E Hansen
exaly +2 more sources
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
doaj +2 more sources
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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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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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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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
doaj +3 more sources