Showing 1 - 10 of 14
We study dynamic panel data models where the long run outcome for a particular crosssection is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...
Persistent link: https://www.econbiz.de/10010904373
eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of …
Persistent link: https://www.econbiz.de/10005764138
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …
Persistent link: https://www.econbiz.de/10005764151
arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture …
Persistent link: https://www.econbiz.de/10005764180
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10005764208
The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of …
Persistent link: https://www.econbiz.de/10005823244
We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...
Persistent link: https://www.econbiz.de/10005823256
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …
Persistent link: https://www.econbiz.de/10008542531
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10005704183
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10005704190