Results 241 to 250 of about 67,070 (277)

Testing Identifiability of Cointegrating Vectors

Journal of Business & Economic Statistics, 1996
This article analyzes the identification and normalization of cointegrating vectors. Normalizing a cointegrating relation with respect to one of the relevant variables is with loss of generality; and restrictions that are supposed to identify a vector may fail to do so for particular parameter values.
openaire   +2 more sources

Cointegration: Bayesian Significance Test

Communications in Statistics - Theory and Methods, 2012
To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or multivariate models: VAR (VEC or VECM) models. These models usually include at least one cointegration relation.
M. Diniz, C. A. B. Pereira, J. M. Stern
openaire   +1 more source

Testing for the cointegration rank when some cointegrating directions are changing [PDF]

Journal of Econometrics, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Andrade, Philippe, Bruneau, Catherine, Gregoir, Stéphane   +2 more
openaire   +3 more sources

Testing Misspecified Cointegration Relationships

1990
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for the number of cointegrating vectors using his tabulated asymptotic critical values. The powers of these tests and of the Dickey-Fuller and cointegrating regression Durbin-Watson tests for cointegration are compared in an experimental design where more ...
Podivinsky, Jan M., Podivinsky, Jan M.
openaire   +1 more source

Cointegration tests on MARS

Computational Economics, 1994
Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the non-linear modelling of economic time series.
openaire   +2 more sources

Testing for Linear Cointegration Against Smooth-Transition Cointegration [PDF]

, 2012
This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby (1997). Based on a class of vector ST cointegrating regression
Li, Dao, He, Changli
openaire   +1 more source

Cointegration: Representation and Testing

1997
A simple cointegrating regression (normally including a constant term) may be written as $$ {y_t} = \alpha + \beta {x_t} + {\varepsilon _t} $$ (8.1) The cointegrating regression is sometimes referred to as the ‘equilibrium model’. However, equilibrium in this sense is different from what is implied by rational expectations models.
Imad A. Moosa, Razzaque H. Bhatti
openaire   +1 more source

Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

Statistical Methodology, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krishnakumar, Jaya, Neto, David
openaire   +2 more sources

Testing misspecified cointegrating relationships

Economics Letters, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Do Panel Cointegration Tests Produce "Mixed Signals"?

Annals of Economics and Statistics, 2012
It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests.
openaire   +4 more sources