Results 301 to 310 of about 15,639,744 (351)
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Economics Letters, 1993
Abstract Monte Carlo experiments indicate that temporal disaggregation often yields significant power increases in augmented Dickey-Fuller cointegration tests. This result is contrary to the properties of ADF unit root tests and is robust to several lag specifications and test misspecifications.
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Abstract Monte Carlo experiments indicate that temporal disaggregation often yields significant power increases in augmented Dickey-Fuller cointegration tests. This result is contrary to the properties of ADF unit root tests and is robust to several lag specifications and test misspecifications.
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Testing Identifiability of Cointegrating Vectors
Journal of Business & Economic Statistics, 1996This 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.
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Statistical Methodology, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krishnakumar, Jaya, Neto, David
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krishnakumar, Jaya, Neto, David
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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 +2 more
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An augmented autoregressive distributed lag bounds test for cointegration
Economic Modelling, 2019An augmented autoregressive distributed lag (ARDL) bounds test for cointegration involves an extra F-test on the lagged levels of the independent variable(s) in the ARDL equation.
Chung Yan Sam, R. Mcnown, S. Goh
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Modeling CO2 emissions in Malaysia: an application of Maki cointegration and wavelet coherence tests
Environmental science and pollution research international, 2021Lingyun Zhang +5 more
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THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED [PDF]
Econometric Theory, 1997 In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t-test for cointegration with a single prespecified cointegrating vector.
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Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
Econometric Theory, 1995Many economic models imply that ratios, simple differences, or “spreads” of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and —1's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under
Michael T.K. Horvath, Mark W. Watson
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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.
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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.
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Testing for stationarity in a cointegrated system [PDF]
, 2002 In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables.
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