Results 21 to 30 of about 15,639,744 (351)
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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Numerical Distribution Functions for Unit Root and Cointegration Tests
, 1996 This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics.
J. MacKinnon
semanticscholar +1 more source
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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A model of fractional cointegration, and tests for cointegration using the bootstrap [PDF]
Journal of Econometrics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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, 1996 In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are ...
C. Kao
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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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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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Rank Tests for Nonlinear Cointegration [PDF]
Journal of Business & Economic Statistics, 2001 A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener processes. Rank-test procedures based on the difference between the sequences of ranks are suggested.
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Cointegration Tests in the Presence of Structural Breaks [PDF]
International Finance Discussion Papers, 1993 Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break.
David F. Hendry +2 more
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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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