Results 81 to 90 of about 5,076 (206)
Energy Strategy ReviewsThis paper investigates the persistence of CO2 emissions in the largest European economies (Germany, France, Italy, Spain, and the Netherlands) from 1970 to 2023 by using a fractional integration framework.
Ana María Molleda +2 more
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Testing of Fractional Cointegration in Macroeconomic Time Series* [PDF]
Oxford Bulletin of Economics and Statistics, 2003 AbstractWe propose in this article a two‐step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson's (Journal of the American Statistical Association, Vol. 89, p. 1420) univariate tests and is similar in spirit to the one proposed by Engle & Granger (Econometrica, Vol. 55, p.
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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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Energy NexusThis study investigates the widening spread between refined and crude oil prices in the United States during the post-COVID period. The objective of the paper is to analyze the dynamics of this spread, with particular emphasis on the persistence of ...
Manuel Monge, Carlos Poza
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Measuring macroeconomic convergence and divergence within EMU using long memory. [PDF]
Empir Econ, 2023 Dräger L, Kolaiti T, Sibbertsen P.
europepmc +1 more source
On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 2000 This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust
Gonzalo, Jesús, Lee, Tae-Hwy
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Realized beta : persistence and predictability [PDF]
, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM.
Andersen, Torben G. +3 more
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Real exchange rates in latin america: The ppp hypothesis and fractional integration [PDF]
, 2008 This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared to earlier studies on these economies, this approach has the advantage of allowing for non-
Caporale, GM
core
Fractional Cointegration of Geometric Functionals
In this paper, we show that geometric functionals (e.g., excursion area, boundary length) evaluated on excursion sets of sphere-cross-time long memory random fields can exhibit fractional cointegration, meaning that some of their linear combinations have shorter memory than the original vector.
Caponera, Alessia +2 more
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The International Journal of Banking and Finance, 2004 This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkoski et al.
A. C. Arize +2 more
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