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Author : Michael T.K. HORVATH
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book TESTING FOR CINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE KNOWN written by Michael T.K. HORVATH and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark W. Watson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book Testing for Cointegration When Some of the Contributing Vectors are Known written by Mark W. Watson and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic models imply that ratios, simple differences, or spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the cointegrating vectors are known under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model (VECM) and are motivated as Wald tests in the version of this Gaussian model. When all of the cointegrating vectors are known under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contains unknown parameters. The asymptotic null distribution of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of forward-spot premium
Author : Michael T. K. Horvath
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Testing for Cointegration when Some of the Cointegrating Vectors are Known written by Michael T. K. Horvath and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Erik Hjalmarsson
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated written by Erik Hjalmarsson and published by International Monetary Fund. This book was released on 2007-06 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. The spurious rejection rate can be reduced by performing additional tests of restrictions on the cointegrating vector(s), although it is still substantially larger than the nominal size.
Author : Anindya Banerjee
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book On Some Simple Tests for Cointegration written by Anindya Banerjee and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Peter Reinhard Hansen
Publisher : Oxford University Press, USA
ISBN 13 : 9780198776086
Total Pages : 178 pages
Book Rating : 4.7/5 (76 download)
Download or read book Workbook on Cointegration written by Peter Reinhard Hansen and published by Oxford University Press, USA. This book was released on 1998 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author : Elena Pesavento
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (318 download)
Download or read book Analytical Evaluation and Application of Tests for Cointegration written by Elena Pesavento and published by . This book was released on 2000 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Michael Beenstock
Publisher : Springer
ISBN 13 : 3030036146
Total Pages : 280 pages
Book Rating : 4.0/5 (3 download)
Download or read book The Econometric Analysis of Non-Stationary Spatial Panel Data written by Michael Beenstock and published by Springer. This book was released on 2019-03-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.
Author : Jeroen J. M. Kremers
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book The Power of Cointegration Tests written by Jeroen J. M. Kremers and published by . This book was released on 1992 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A cointegration test statistic based upon estimation of an error corƯrection model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test generally is more powerful than the Dickey-Fuller test. These differences arise because the latter imposes a possibly invalid common factor restriction. The issue is general and has ramifications for system-based cointegration tests. Monte Carlo analysis and an empirical study of U.K. money demand demonstrate the differences in power.
Author : Gauss M. Cordeiro
Publisher : Springer Science & Business Media
ISBN 13 : 3642552552
Total Pages : 113 pages
Book Rating : 4.6/5 (425 download)
Download or read book An Introduction to Bartlett Correction and Bias Reduction written by Gauss M. Cordeiro and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise introduction to Bartlett and Bartlett-type corrections of statistical tests and bias correction of point estimators. The underlying idea behind both groups of corrections is to obtain higher accuracy in small samples. While the main focus is on corrections that can be analytically derived, the authors also present alternative strategies for improving estimators and tests based on bootstrap, a data resampling technique and discuss concrete applications to several important statistical models.
Author : Andy Snell
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (119 download)
Download or read book Testing for R Versus R-1 Cointegrating Vectors written by Andy Snell and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author : Bhaskara B. Rao
Publisher : Springer
ISBN 13 : 1349235296
Total Pages : 247 pages
Book Rating : 4.3/5 (492 download)
Download or read book Cointegration written by Bhaskara B. Rao and published by Springer. This book was released on 2016-07-27 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: `This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author : A. Jameel Khadaroo
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (432 download)
Download or read book Testing Restrictions on Cointegrating Vectors written by A. Jameel Khadaroo and published by . This book was released on 1998 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis L. Hoffman
Publisher : Springer Science & Business Media
ISBN 13 : 9400918143
Total Pages : 273 pages
Book Rating : 4.4/5 (9 download)
Download or read book Aggregate Money Demand Functions written by Dennis L. Hoffman and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The econometric consequences of nonstationary data have wide ranging im plications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand func tion that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory predicts that these nonsta tionary series form a cointegrating relation and accordingly, that the dynamics of a vector process comprised of these variables generates distinct patterns. Re cent econometric developments designed to cope with nonstationarities have changed the course of empirical research in the area, but many fundamental challenges, for example the issue of identification, remain. This book represents the efforts undertaken by the authors in recent years in an effort to determine the consequences that nonstationarity has for the study of aggregate money demand relations. We have brought together an empirical methodology that we find useful in conducting empirical research. Some of the work was undertaken during the authors' sabbatical periods and we wish to acknowledge the generous support of Arizona State University and Michigan State University respectively. Professor Hoffman wishes to acknowledge the support of the Fulbright-Hays Foundation that supported sabbattical research in Europe and separate support of the Council of 100 Summer Research Program at Arizona State University.
