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The Power Of Cointegration Tests
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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 The Power of Cointegration Tests by : Alfred Haug
Download or read book The Power of Cointegration Tests written by Alfred Haug and published by . This book was released on 1995 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Power of Cointegration Tests by : Anindya Banerjee
Download or read book On the Power of Cointegration Tests written by Anindya Banerjee and published by . This book was released on 1995 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Power of Residual-based Cointegration Tests, and the Dynamics of Female Fertility, Education, and Labor Supply by : Ya-Hue Lee
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:
Book Synopsis Temporal Aggregation and the Power of Cointegration Tests by : Alfred A. Haug
Download or read book Temporal Aggregation and the Power of Cointegration Tests written by Alfred A. Haug and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effect of time-aggregation on the power of commonly used tests for cointegration is studied with the Monte Carlo method. The results suggest that, for a given span, a higher frequency of observation can add substantially to test power. Also, Engle and Granger's (1987) ADF test leads overall to the highest and most stable powers for typical finite sample sizes and likely data generating processes encountered by practitioners.
Author :Banerjee, Anindya Publisher :Kingston, Ont. : Institute for Economic Research, Queen's University ISBN 13 : Total Pages :37 pages Book Rating :4.:/5 (257 download)
Book Synopsis On the Power of Cointegration Tests : Dimension Invariance Vs. Common Factors by : Banerjee, Anindya
Download or read book On the Power of Cointegration Tests : Dimension Invariance Vs. Common Factors written by Banerjee, Anindya and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1995 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Power of Some Multivariate Cointegration Tests by : Anders Christian Rahbek
Download or read book The Power of Some Multivariate Cointegration Tests written by Anders Christian Rahbek and published by . This book was released on 1994 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cointegration Tests in the Presence of Structural Breaks by : Julia Campos
Download or read book Cointegration Tests in the Presence of Structural Breaks written by Julia Campos and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated by : Walter Krämer
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:
Book Synopsis Three Essays on More Powerful Cointegration Tests by : Hyejin Lee
Download or read book Three Essays on More Powerful Cointegration Tests written by Hyejin Lee and published by . This book was released on 2012 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main focus of this dissertation is to find ways to improve the power in cointegration tests. This dissertation consists of three essays. In the first essay, a modified testing procedure for the Engle and Granger (1987; EG) cointegration test is suggested. Specifically, we suggest augmenting the usual EG testing regression with the first difference of the integrated regressors. The limiting distribution of this modified EG test under the null hypothesis will depend on the nuisance parameter, which reflects the signal-to-noise ratio. This essay shows that the nuisance parameter issue can be resolved when we follow the asymptotic distribution of the modified EG test, and use the relevant new sets of critical values corresponding to the estimated value of the nuisance parameter. It is found that the size and power properties of the modified EG test are fairly good. The modified EG test gains improved power rather than losing power as the signal-to-noise ratio increases. In the second essay, we examine whether non-linear unit root tests is robust with non-normal errors, which provides a motivation for the third essay. Especially, the second essay demonstrates how popular nonlinear unit root tests perform in the presence of non-normal errors. Non-normal errors normally do not pose a problem in usual linear unit root tests since the least squares estimator will still be the most efficient under certain ideal conditions regardless of normal or non-normal errors. The asymptotic properties of the popular linear Dickey-Fuller tests, for example, will be unaffected by non-normal errors. As such, the literature has not paid much attention to this issue. Nevertheless, whether similar results will carry over to nonlinear unit root tests with non-normal errors is a question that merits examination. To our surprise, the extant literature on nonlinear unit root tests has not examined this important question. We find that, in general, nonlinear unit root tests will suffer a loss of power in the presence of non-normal errors. In this regard, this essay brings out the neglected point that the obvious analogies of linear processes do not necessarily hold for nonlinear models. The third essay suggests new cointegration tests that are more powerful in the presence of non-normal errors. We use a two-step procedure based on the "residual augmented least squares" (RALS) method to make use of nonlinear moment conditions driven by non-normal errors. By utilizing this neglected information, we can make the existing tests more powerful. The suggested testing procedure is easy to implement. The underlying idea is similar to adding stationary covariates to improve the power of the test, but the suggested procedure does not require any new covariates outside the system. Instead, we can exploit the information on the non-normal error distribution that is already available but ignored in the usual cointegration tests. Our simulation results show significant power gains over existing cointegration tests.
Book Synopsis The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated by : Walter Krämer
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:
Book Synopsis Analytical Evaluation and Application of Tests for Cointegration by : Elena Pesavento
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:
Book Synopsis Testing for Purchasing Power Parity in Cointegrated Panels by : Mikael Carlsson
Download or read book Testing for Purchasing Power Parity in Cointegrated Panels written by Mikael Carlsson and published by International Monetary Fund. This book was released on 2007 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Our overall results are the same across all approaches: The strong PPP hypothesis is rejected in favour of weak PPP with heterogenenous cointegrating vectors.
Book Synopsis The-power of residual-based tests for cointegration when residuals are fractionally integrated by : Walter Krämer
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:
Book Synopsis Nonstationary Panels, Panel Cointegration, and Dynamic Panels by : Badi H. Baltagi
Download or read book Nonstationary Panels, Panel Cointegration, and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
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.
