Search Results - subject:"Cointegration"

On the Size and Power of System Tests for Cointegration.

Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1996

It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many …

Persistent link: https://www.econbiz.de/10005631355

A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables.

Swanson, N.R.; Ozyildirim, A.; Pisu, M. - Department of Economics, Pennsylvania State University - 1996

A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables in the model.

Persistent link: https://www.econbiz.de/10005631516

Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data

Franses, P.H.; Kloek, T.; Lucas, A. - Econometrisch Instituut, Faculteit der Economische … - 1996

. Since the data show nonstationary characteristics, we rely on cointegration techniques to estimate long-run and short …-run parameters. Additionally, as there are many outlying observations in our weekly scanning data, we applu robust cointegration …

Persistent link: https://www.econbiz.de/10005474862

Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System

Ramos, Francisco F. R. - EconWPA - 1996

cointegration tests preceded by various unit root or non-stationarity tests) is one of the first attempts at putting the sales …-marketing mix analysis within a multivariate cointegrated system. The results, based on a three-step procedure (cointegration, VECM …

Persistent link: https://www.econbiz.de/10005119100

Aggregation and Cointegration.

Korosi, G.; Longmire, R.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1996

properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals. …

Persistent link: https://www.econbiz.de/10005427607

Equality Restricted Random Variables: Densities and Sampling Algorithms

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1996

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large amount of these models impose restrictions which do not allow for the analytical construction of the probability density function (pdf) of the parameters given the restrictions....

Persistent link: https://www.econbiz.de/10005660914