Results 221 to 230 of about 67,836 (307)

Confidence Intervals for Price Discovery

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen, Paolo Paruolo, Anders Rahbek   +2 more
wiley   +1 more source

The effect of port development on the decoupling of urban development and hinterland pollution. [PDF]

Sci Rep
Ji X, Ding X, Zhang Y, Wang C.
europepmc   +1 more source

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

Governance and public health expenditure in Côte d'Ivoire: examination of the dynamic relationship. [PDF]

Health Econ Rev
Diarrassouba AS, Coulibaly FN, Comoé A.
europepmc   +1 more source

Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley   +1 more source

Econometric analysis of the long-run relationship between preventive care spending and mortality: evidence from OECD countries, 1970-2019. [PDF]

Empir Econ
Ammi M, Davarzani F.
europepmc   +1 more source

Correction to: Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions

Empirical Economics, 2023
openaire   +1 more source

Inflation Control in a CVAR Model With an Application to the Burns/Miller Period in the USA

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT The paper addresses the problem of “how to make a nonstationary inflation rate stationary by controlling the policy instrument”. It shows that a necessary condition is a significant non‐zero element in the long‐run impact matrix. An application to US data covering the Burns/Miller periods finds a significant, but positive, long‐run impact on ...
Søren Johansen, Katarina Juselius
wiley   +1 more source

When the cure leaks: corruption, health spending, and health outcomes in Malawi. [PDF]

Front Public Health
Yusufu EG, Bangara BC, Banda LG.
europepmc   +1 more source

Detecting Sparse Cointegration

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT We propose a two‐step procedure for detecting sparse cointegration in high‐dimensional single‐equation models. First, we employ the adaptive lasso to identify the subset of integrated covariates driving the long‐run equilibrium relationship.
Jesús Gonzalo, Jean‐Yves Pitarakis
wiley   +1 more source