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Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011517008

Expectations for statistical arbitrage in energy futures markets

Nakajima, Tadahiro - In: Journal of risk and financial management : JRFM 12 (2019) 1/14, pp. 1-12

York Mercantile Exchange. On the assumption that power prices and natural gas prices have a cointegration relationship, as …

Persistent link: https://www.econbiz.de/10011961529

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...

Persistent link: https://www.econbiz.de/10011583206