Results 61 to 70 of about 441,270 (159)
This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is
David Neto, Jaya Krishnakumar
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Inappropriate Detrending and Spurious Cointegration [PDF]
The empirical literature is abundant with detrended cointegration, where cointegration relationships are tested and estimated with deterministic trend terms. Cointegration is, however, critically dependent on whether time series is detrended or not.
Heejoon Kang
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Omitted variables in cointegration analysis
, 2003 This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991).
Pashourtidou, Nicoletta
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A procedure to detect hidden cointegration with the sieve bootstrap
, 2005 In this paper we consider a particular form of cointegration, called hidden cointegration, which arises between positive and/or negative components of a time series.
GEROLIMETTO M. +5 more
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Tests for cointegration in panels with regime shifts [PDF]
In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the alternative ...
Luciano Gutierrez
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Cointegration and long-horizon forecasting [PDF]
It is widely believed that imposing cointegration on a forecasting system, if cointegration is, in fact, present, will improve long-horizon forecasts.
Francis X. Diebold +1 more
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Omitted variables in cointegration analysis [PDF]
This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991).
Pashourtidou, Nicoletta
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Testing for Stochastic Cointegration and Evidence for Present Value Models [PDF]
Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of models in the bond and stock markets.
Stephen Leybourne +2 more
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Explaining Cointegration Analysis: Part II [PDF]
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs).
Katarina Juselius, David F. Hendry
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Unbalanced Cointegration [PDF]
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposite to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders ...
Javier Hualde
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