Results 151 to 160 of about 67,070 (277)
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley +1 more source
Fully Modified GLS Estimation for Seemingly Unrelated Cointegrating Polynomial Regressions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A new feasible generalized least squares estimator is proposed. Our estimator incorporates (1) the inverse autocovariance matrix of multidimensional errors, and (2) second‐order bias corrections. The resulting estimator has the intuitive interpretation of applying a weighted least squares objective function to filtered data series.
Yicong Lin, Hanno Reuvers
wiley +1 more source
Cointegration and conditional correlations among German and Eastern Europe equity markets [PDF]
This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these ...
Guidi, Francesco, Gupta, Rakesh
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Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries [PDF]
This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration.
Chia, Ricky Chee-Jiun +2 more
core +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Mixed Signals Among Tests for Panel Cointegration [PDF]
In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real
Basher, Syed A., Westerlund, Joakim
core +1 more source
Permanent Revenue in an Energy‐Exporting Economy: A New Test for Fiscal Equilibrium
Review of Development Economics, EarlyView.ABSTRACT Fiscal disequilibrium arises when permanent expenditures (PEXP) exceed permanent revenue (PREV), a frequent risk in energy‐exporting economies reliant on volatile windfall revenues. However, existing research lacks a clear measure of these concepts and an empirical test for fiscal equilibrium.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source
Unconventional Fiscal Policies in Response to Inflation: The Iberian Exception in Portugal
Scottish Journal of Political Economy, EarlyView.ABSTRACT The surge in Eurozone inflation in 2022 compelled European governments to implement unconventional fiscal policies. One initiative, the Iberian Exception, imposed a cap on the cost of natural gas used for electricity generation in Portugal and Spain.
Lourenço Cerdeira +2 more
wiley +1 more source
HOW STABLE IS THE DEMAND FOR MONEY IN CHINA? [PDF]
Different authors have tried to estimate the demand for money in different countries. A common theme of almost all studies since 1987 is the application of cointegration technique.
Mohsen Bahmani-Oskooee, Yongqing Wang
core