Results 71 to 80 of about 441,270 (159)
Comparison of Panel Cointegration Tests [PDF]
The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations.
Deniz Dilan Karaman Örsal
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Structural breaks, cointegration and the Fisher effect [PDF]
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of ...
Haug, Alfred A. +2 more
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The Properties of Cointegration Tests in Models with Structural Change [PDF]
In this paper we examine, by means of Monte Carlo simulation, the properties of several cointegration tests when long run parameters are subject to structural changes.
Vasco J. Gabriel, Luis F. Martins
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Seasonal adjustment and cointegration [PDF]
We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application.
Jesus Otero, Jeremy Smith
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A procedure to detect hidden cointegration with the sieve bootstrap
, 2012 In this paper we investigate about a particular form of cointegration, called hidden cointegration, arising between positive and/or negative components of a time series and useful to model asymmetric behaviours, though requiring specific estimation and ...
PIZZI, Claudio +5 more
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A Neural Learning Approach for a Data-Driven Nonlinear Error Correction Model. [PDF]
Comput Intell Neurosci, 2023 Fang X, Yang N.
europepmc +1 more source
Subsampling Cointegration Ranks in Large Systems [PDF]
In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration relations in large multivariate systems.
Chen Pu, Hsiao Chihying
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A Canonical Form for Unit Root Processes in the State Space Framework [PDF]
In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle.
Martin Wagner, Dietmar Bauer
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Testing Cointegration Rank in Large Systems [PDF]
In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration relations in large multivariate systems.
Chen Pu, Hsiao Chihying
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SPURIOUS REGRESSION AND COINTEGRATION. NUMERICAL EXAMPLE: ROMANIA’S M2 MONEY DEMAND [PDF]
Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established ...
Ruxanda, Gheorghe, Botezatu, Andreea
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