Results 71 to 80 of about 5,155 (224)

Further evidence on the size and power of the Bierens and Johansen cointegration procedures [PDF]

Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000 ...
David O. Cushman
core  

Recent Developments in Cointegration [PDF]

, 2018
It is well known that inference on the cointegrating relations in a vector autoregression (CVAR) is difficult in the presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which vary ...
Søren Johansen, Massimo Franchi
core   +1 more source

Forty Years of Empirical Evidence of Cointegration and Nonlinear Equilibrium Correction in UK Money Demand Since the XIXth Century

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT Since the seminal contributions of Friedman and Schwartz and of Hendry and Ericsson, instability in money demand has remained a central issue in the literature. This study broadens and generalizes the first evidence for the United Kingdom of stable long‐ and short‐run broad money demand extending back to the nineteenth century. Using nonlinear
Álvaro Escribano, Juan‐Andrés Rodríguez, Miguel A. Arranz   +2 more
wiley   +1 more source

Confidence Intervals for Price Discovery

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen, Paolo Paruolo, Anders Rahbek   +2 more
wiley   +1 more source

On the robustness of cointegration tests when series are fractionally integrated [PDF]

, 1996
This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
core  

The Cointegration analysis of per capita trade turnover between the Republic of Azerbaijan and Turkey and the GDPs of these countries [PDF]

Problemi Ekonomiki
The article builds an ECM model (error correction model) of the relationship between Azerbaijan's trade turnover with Turkey per capita and the GDP per capita of these countries for the period 1992–2022.
Yuniszada Roya
doaj   +1 more source

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

COINTEGRATION ANALYSIS OF EUROPEAN STOCK MARKETS (ROMANIA, GERMANY, FRANCE AND POLAND) FROM THE PERSPECTIVE OF THE NET ASSETS INVESTMENT OF THE ROMANIAN MANDATORY PRIVATE PENSION FUNDS [PDF]

Economica, 2016
The goal of this paper is to investigate cointegration between Bucharest Stock Exchange and three European Stock Markets: Germany,France and Poland, respectively.
Andreea-Cristina PETRICA, Stelian STANCU, Ion PARTACHI   +2 more
doaj  

The impact of the Chinese cornstarch futures on spot market and corn futures market

Cogent Economics & Finance, 2017
This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model.
Crentsil Kofi Agyekum, Haifeng Huang, Jianshu Chen   +2 more
doaj   +1 more source

Inference on Common Trends in a Cointegrated Nonlinear SVAR

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley   +1 more source