Results 31 to 40 of about 15,639,744 (351)
Semiparametrically Optimal Cointegration Test
SSRN Electronic Journal, 2023 This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit experiment, which in this context takes the form of Locally ...
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DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION [PDF]
Econometric Theory, 2007 We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution under the null and rely on generalized least squares–type of corrections that control for the short-run ...
Javier Hualde, Carlos Velasco
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Financial Repression and Agricultural Growth: The Case of Islamic Republic of Iran (1962-2007) [PDF]
پژوهشهای اقتصادی, 2013 There have been few studies working on effects of financial repression policies on Iran’s economic growth. Considering the huge share of agricultural sector, we have been trying to fill this gap by the help of time series data from 1962 to 2007 on ...
Sanaz Mansouri +2 more
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Cointegration and Tests of Present Value Models
Journal of Political Economy, 1987 In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y ...
J. Campbell, R. Shiller
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FDI and Economic Growth in EU13 Countries: Cointegration and Causality Tests
Journal of Competitiveness, 2020 Foreign direct investments are seen as a prerequisite for gaining and maintaining competitiveness. The research objective of this study is to examine the relationship between foreign direct investment (FDI) and economic growth in “new” European Union ...
Vlatka Bilas
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Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
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Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets
American Journal of Agricultural Economics, 1991 Barry K Goodwin, Ted C Schroeder
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Testing for Exogeneity in Cointegrated Panels [PDF]
Oxford Bulletin of Economics and Statistics, 2014 AbstractThis paper proposes a test for the null that, in a cointegrated panel, the long‐run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T‐consistent, whereas it is ‐consistent when there is no endogeneity. Other estimators can be employed, such as the FM‐OLS, that are
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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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Testing for Neglected Nonlinearity in Cointegrating Relationships* [PDF]
Journal of Time Series Analysis, 2007 Abstract. This article proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating relationship for empirical modelling.
Andrew P. Blake, George Kapetanios
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