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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011257374
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …
Persistent link: https://www.econbiz.de/10011257593
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Generalized Reduced Rank Tests using the Singular Value Decomposition
Kleibergen, Frank; Paap, Richard - Tinbergen Instituut - 2003
.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10011249543
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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - Tinbergen Instituut - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10011256767
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Instituut - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011256602
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Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10011272581
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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>
Persistent link: https://www.econbiz.de/10011255584
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10011256845
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How Large is Average Economic Growth? Evidence from a Robust Method
Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Instituut - 2002
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...
Persistent link: https://www.econbiz.de/10011256858
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011272592