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Cointegration versus Spurious Regression in Heterogeneous Panels

Urga, Giovanni; Trapani, Lorenzo - Econometric Society - 2004

cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … condition is met. Secondly, we analyze the case when cointegration doesn't carry through the aggregation process, investigating … derive the asymptotic measure of the degree of non cointegration of the aggregated estimate and we provide estimation and …

Persistent link: https://www.econbiz.de/10005702609

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Seo, Myunghwan - Econometric Society - 2004

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...

Persistent link: https://www.econbiz.de/10005342185

Testing the Power of Panel Cointegration Tests When Frequency of the Data Changes: A Simulation Study

Iqbal, Azhar - Econometric Society - 2004

In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both …) types of cointegration tests in panel data), (ii) McCoskey and Kao (1998) Test (Residual based LM Test for cointegration in …, are constructed under the null hypothesis of no cointegration, while the other, the McCoskey and Kao LM test, is based on …

Persistent link: https://www.econbiz.de/10005342288

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Nonstationary Nonlinear Heteroskedasticity in Regression

Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004

This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares methods in the presence of conditional...

Persistent link: https://www.econbiz.de/10005086429

Generalized Reduced Rank Tests using the Singular Value Decomposition

Paap, Richard; Kleibergen, Frank - Econometric Society - 2004

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

Persistent link: https://www.econbiz.de/10005063654

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE

SIN, Chor-yiu - Econometric Society - 2004

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …

Persistent link: https://www.econbiz.de/10005063680

The Value of Structural Information in the VAR Model

Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004

features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …

Persistent link: https://www.econbiz.de/10005063701

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE

SIN, Chor-yiu - Econometric Society - 2004

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …

Persistent link: https://www.econbiz.de/10005063718

Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates

Tillmann, Peter - Econometric Society - 2004

To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short-run dynamics of the...

Persistent link: https://www.econbiz.de/10005063728