Results 311 to 320 of about 15,639,744 (351)

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

A Gaussian Test for Cointegration [PDF]

, 2009
We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, is that, instead of having to deal with non-standard distributions, it takes the testing back to the normal ...
Gulasekaran Rajaguru, Tilak Abeysinghe
openaire   +2 more sources

Financial development, globalization and ecological footprint in G7: further evidence from threshold cointegration and fractional frequency causality tests

Environmental and Ecological Statistics, 2020
Uğur Korkut Pata, Veli Yılancı
semanticscholar   +1 more source

PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Econometric Theory, 2004
P. Pedroni
semanticscholar   +1 more source

The saving and investment nexus for China: evidence from cointegration tests

, 2005
P. Narayan
semanticscholar   +1 more source

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

Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System [PDF]

, 2009
The paper generalises estimation and inference procedures for a threshold VECM with more than one cointegrating relation. We derive estimators of long-run parameters and loading factors by means of a reduced rank regression. We provide their asymptotic distributions and propose a testing procedure for the cointegrating rank.
Jaya Krishnakumar, David Neto
openaire  

International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks

, 2016
Ripsy Bondia, Sajal Ghosh, K. Kanjilal
semanticscholar   +1 more source

Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

, 2016
Sajal Ghosh, K. Kanjilal
semanticscholar   +1 more source

More powerful cointegration tests with non-normal errors

, 2015
Hyejin Lee, Junsoo Lee, K. Im
semanticscholar   +1 more source