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Author : Sami A. Aziz Alkhatrash
Publisher :
ISBN 13 :
Total Pages : 378 pages
Book Rating : 4.:/5 (254 download)
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:
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 : 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 : Elena Pesavento
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Residuals-Based Tests for the Null of No-Cointegration written by Elena Pesavento and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the asymptotic distribution of five residuals-based tests for the null of no-cointegration under a local alternative when the tests are computed using both ordinary least squares (OLS) and generalized least squares (GLS)-detrended variables. The local asymptotic power of the tests is shown to be a function of Brownian motion and Ornstein-Uhlenbeck processes, depending on a single nuisance parameter, which is determined by the correlation at frequency zero of the errors of the cointegration regression with the shocks to the right-hand side variables. The tests are compared in terms of power in large and small samples. It is shown that, while no significant improvement can be achieved by using unit root tests other than the OLS detrended t-test originally proposed by Engle and Granger (1987), the power of GLS residuals tests can be higher than the power of system tests for some values of the nuisance parameter.
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:
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 : 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 : 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 : 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 : Allan W. Gregory
Publisher : Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (274 download)
Download or read book Residual-based Tests for Cointegration in Models with Regime Shifts written by Allan W. Gregory and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1992 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chihwa Kao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable written by Chihwa Kao and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. We show that the LSDV estimatoris consistent for its true value, but the t- statistic diverges so that inferences about the regression coefficient, are wrong with the probability that goes to one. The asymptotics of LSDV are also different from those of the spurious regression in the pure time series. This has an important consequence for residual-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic distributions of the tests a re derived and Monte Carlo experiments are conducted to evaluate finite sample properties of the proposed tests.
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 : 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 : 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 : Badi H. Baltagi
Publisher : Elsevier
ISBN 13 : 0762306882
Total Pages : 351 pages
Book Rating : 4.7/5 (623 download)
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.
