Results 21 to 30 of about 67,070 (277)
Bartlett corrections in cointegration testing [PDF]
Computational Statistics & Data Analysis, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jacobson, Tor, Larsson, Rolf
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Cointegration and Unit Root Tests: A Fully Bayesian Approach
Entropy, 2020 To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis, one way to detect stochastic trends is to test if the series has unit roots, and for multivariate ...
Marcio A. Diniz +2 more
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Consistent Testing of Cointegrating Relationships [PDF]
Econometrica, 2004 In this paper we investigate methods for testing the existence of a cointegration relationship among the components of a nonstationary fractionally integrated (NFI) vector time series. Our framework generalizes previous studies restricted to unit root integrated processes and permits simultaneous analysis of spurious and cointegrated NFI vectors.
Francesc, Marmol, Velasco, Carlos
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Robust Tests on Fractional Cointegration [PDF]
, 2001 Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost
Peters, Andrea, Sibbertsen, Philipp
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Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests
SAGE Open, 2021 This study aims to examine the causal and long-term effects of domestic finance, political risks, and global risk on domestic economic risk in QISMUT countries, namely Qatar, Indonesia, Saudi Arabia, Malaysia, UAE, and Turkey, covering the period of ...
Xiaojuan He +3 more
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Analyse empirique de la relation entre tourisme et compétitivité : l’exemple des Antilles françaises
Études Caribéennes, 2012 The tourism competitiveness is an important concept today. The most studies investigate this theme from different ways. However, there are few studies about empirical link between tourism and competitiveness.
Louis Dupont
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Contagion Effects of Covid-19 on Select Stock Market Indices [PDF]
Eurasian Journal of Business and Economics, 2022 We examine the impact of the COVID-19 pandemic on the interlinkages between the Indian stock market and some of the largest indices across the world.
Gopalakrishnan KALPAKAM
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A note on the power of panel conitegration tests - An application to health care expenditure and GDP [PDF]
, 2016 This paper enlarges on Gutierrez's (2003) results on the power of panel cointegration tests. By a comparison of power of panel cointegration tests, we show how the choice of most powerful test depends on the values ...
MARINI, GIORGIA
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Cointegration Testing Using Pseudolikelihood Ratio Tests [PDF]
Econometric Theory, 1997 This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance parameters if the pseudolikelihood is non-Gaussian.
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Unit Roots and Cointegration in Panels [PDF]
, 2005 This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large.
Breitung, Jorg, Pesaran, M. Hashem
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