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Testing For Cointegration When Some Of The Cointegrating Vectors Are Known
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Book Synopsis Testing for Cointegration When Some of the Contributing Vectors are Known by : Mark W. Watson
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
Book Synopsis Testing for Cointegration when Some of the Cointegrating Vectors are Known by : Michael T. K. Horvath
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:
Book Synopsis Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated by : Erik Hjalmarsson
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.
Book Synopsis On Some Simple Tests for Cointegration by : Anindya Banerjee
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:
Book Synopsis TESTING FOR CINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE KNOWN by : Michael T.K. HORVATH
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:
Book Synopsis Workbook on Cointegration by : Peter Reinhard Hansen
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.
Book Synopsis An Introduction to Bartlett Correction and Bias Reduction by : Gauss M. Cordeiro
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.
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.
Book Synopsis The Power of Cointegration Tests by : Jeroen J. M. Kremers
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.
Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
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.
Book Synopsis Introduction to Econometrics by : James H. Stock
Download or read book Introduction to Econometrics written by James H. Stock and published by Prentice Hall. This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: For courses in Introductory Econometrics Engaging applications bring the theory and practice of modern econometrics to life. Ensure students grasp the relevance of econometrics with Introduction to Econometrics-the text that connects modern theory and practice with motivating, engaging applications. The Third Edition Update maintains a focus on currency, while building on the philosophy that applications should drive the theory, not the other way around. This program provides a better teaching and learning experience-for you and your students. Here's how: Personalized learning with MyEconLab-recommendations to help students better prepare for class, quizzes, and exams-and ultimately achieve improved comprehension in the course. Keeping it current with new and updated discussions on topics of particular interest to today's students. Presenting consistency through theory that matches application. Offering a full array of pedagogical features. Note: You are purchasing a standalone product; MyEconLab does not come packaged with this content. If you would like to purchase both the physical text and MyEconLab search for ISBN-10: 0133595420 ISBN-13: 9780133595420. That package includes ISBN-10: 0133486877 /ISBN-13: 9780133486872 and ISBN-10: 0133487679/ ISBN-13: 9780133487671. MyEconLab is not a self-paced technology and should only be purchased when required by an instructor.
Book Synopsis The Econometric Analysis of Non-Stationary Spatial Panel Data by : Michael Beenstock
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.
Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala
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.
Book Synopsis Testing for R Versus R-1 Cointegrating Vectors by : Andy Snell
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:
Book Synopsis The Cointegrated VAR Model by : Katarina Juselius
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.
Book Synopsis Practical Issues in Cointegration Analysis by : Michael McAleer
Download or read book Practical Issues in Cointegration Analysis written by Michael McAleer and published by Wiley-Blackwell. This book was released on 1999-08-03 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Book Synopsis Analysis of Integrated and Cointegrated Time Series with R by : Bernhard Pfaff
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
