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The Power Of Residual Based Tests For Cointegration When Residuals Are Fractionally Integrated
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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 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 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 The Power of Residual-based Tests for Cointegraion when Residuals are Fractionally Integrated by : Walter Krämer
Download or read book The Power of Residual-based Tests for Cointegraion 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 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 The Power of the KPSStest for Cointegration when Residuals are Fractionally Integrated by : Philipp Sibbertsen
Download or read book The Power of the KPSStest for Cointegration when Residuals are Fractionally Integrated written by Philipp Sibbertsen and published by . This book was released on 2004 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Residual-based Tests for Fractional Cointegration by : Ingolf Dittmann
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:
Book Synopsis The Power of the KPSStest for Cointegration when Residuals are Fractionally Integrated by : Philipp Sibbertsen
Download or read book The Power of the KPSStest for Cointegration when Residuals are Fractionally Integrated written by Philipp Sibbertsen and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Residual-based Cointegration Test for Near Unit Root Variables by : Erik Hjalmarsson
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.
Book Synopsis Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics by : Morten Ørregaard Nielsen
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:
Book Synopsis Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics by :
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:
Book Synopsis Residual-based Test for Fractional Cointegration by : Chi Ho Chan
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:
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 Residual Based Tests for Cointegration with GLS Detrended Data by : Pierre Perron
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:
Book Synopsis Residuals Based Tests for Cointegration by : Sami A. Aziz Alkhatrash
Download or read book Residuals Based Tests for Cointegration written by Sami A. Aziz Alkhatrash and published by . This book was released on 1990 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cointegration For The Applied Economist by : B Bhaskara Rao (Ed.)
Download or read book Cointegration For The Applied Economist written by B Bhaskara Rao (Ed.) and published by Allied Publishers. This book was released on 1997 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Residual Based LM Test for Fractional Cointegration by : Uwe Hassler
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:
