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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

Nonlinear estimators with integrated regressors but without exogeneity

Jong, Robert de - Econometric Society - 2004

This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...

Persistent link: https://www.econbiz.de/10005699677

Temporal aggregation, causality distortions and a sign rule

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper …

Persistent link: https://www.econbiz.de/10005702583

Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth?

Kishor, N. Kundan - Econometric Society - 2004

The strong consumption growth in a period of falling stock market and a moderate recession in the U.S. has sparked off a debate about the role of housing wealth as one of the determinants of consumption. The literature is divided over the issue whether the effect of change in the financial...

Persistent link: https://www.econbiz.de/10005702625

Operating Mechanism Changes Detection in A Complex System

SUN, Qinghua; ZHANG, Shiying - Econometric Society - 2004

Financial Market is a Complex System.Quantitative analysis of Complex system is difficult. There is little mensurable method in this field. But we often need describe the running pattern in complex system. How can we describe and find the running pattern (structure) change in complex system. The...

Persistent link: https://www.econbiz.de/10005702748

Further results on weak-exogeneity in vector error correction models

Rault, Christophe - Econometric Society - 2004

This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with...

Persistent link: https://www.econbiz.de/10005702765

An Alternative Estimation of Spurious Regression Model

Rahman, Shahidur - Econometric Society - 2004

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

Persistent link: https://www.econbiz.de/10005342144

Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration

Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004

cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …

Persistent link: https://www.econbiz.de/10005342164