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Author : Chi Ho Chan
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (617 download)
Download or read book Residual-based Test for Fractional Cointegration written by Chi Ho Chan and published by . This book was released on 2004 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ingolf Dittmann
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (246 download)
Download or read book Residual-based Tests for Fractional Cointegration written by Ingolf Dittmann and published by . This book was released on 1998 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Morten Ørregaard Nielsen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics written by Morten Ørregaard Nielsen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Hassler
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (764 download)
Download or read book A Residual Based LM Test for Fractional Cointegration written by Uwe Hassler and published by . This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (471 download)
Download or read book Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics written by and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Krämer
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (17 download)
Download or read book The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated written by Walter Krämer and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Krämer
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (246 download)
Download or read book The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated written by Walter Krämer and published by . This book was released on 1999 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Krämer
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)
Download or read book The-power of residual-based tests for cointegration when residuals are fractionally integrated written by Walter Krämer and published by . This book was released on 1999 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Erik Hjalmarsson
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (121 download)
Download or read book A Residual-based Cointegration Test for Near Unit Root Variables written by Erik Hjalmarsson and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni method is used to address the uncertainty regarding the exact degree of persistence in the process. We thus provide a method for valid inference in multivariate near unit root processes where standard cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results. Empirical illustrations are given by: (i) a re-examination of the Fisher hypothesis, and (ii) a test of the validity of the cointegrating relationship between aggregate consumption, asset holdings, and labor income, which has attracted a great deal of attention in the recent finance literature.
Author : Pierre Perron
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.3/5 ( download)
Download or read book Residual Based Tests for Cointegration with GLS Detrended Data written by Pierre Perron and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Param Silvapulle
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 ( download)
Download or read book A Score Test for Seasonal Fractional Integration and Cointegration written by Param Silvapulle and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P. C. B. Phillips
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (279 download)
Download or read book Asymptotic Properties of Residual Based Tests for Cointegration written by P. C. B. Phillips and published by . This book was released on 1988 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alfred A. Haug
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (423 download)
Download or read book Residual Based Tests for Cointegration written by Alfred A. Haug and published by . This book was released on 1991 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ya-Hue Lee
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Power of Residual-based Cointegration Tests, and the Dynamics of Female Fertility, Education, and Labor Supply written by Ya-Hue Lee and published by . This book was released on 1997 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre Perron
Publisher : MDPI
ISBN 13 : 3038428116
Total Pages : 167 pages
Book Rating : 4.0/5 (384 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author : Katarzyna Lasak
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book Likelihood Based Testing for No Fractional Cointegration written by Katarzyna Lasak and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The standard cointegration analysis only considers the assumption that deviations from equilibrium can be integrated of order zero, which is very restrictive in many cases and may imply an important loss of power in the fractional case. We consider the alternative hypotheses with equilibrium deviations that can be mean reverting with order of integration possibly greater than zero. Moreover, the degree of fractional cointegration is not assumed to be known, and the asymptotic null distribution of both tests is found when considering an interval of possible values. The power of the proposed tests under fractional alternatives and size accuracy provided by the asymptotic distribution in finite samples are investigated.
Author : In Choi
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (253 download)
Download or read book Spurious Regressions and Residual-based Tests for Cointegration when Regressors are Cointegrated written by In Choi and published by . This book was released on 1991 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
