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Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - Tinbergen Instituut - 2014
Accepted for publication in the <I>Journal of Business & Economic Statistics</I>.<P> We consider cointegration rank … estimating the parameters of the model under the null hypothesis of the cointegration rank r=1,2,…,p-1. This step provides … consistent estimates of the order of fractional cointegration, the cointegration vectors, the speed of adjustment to the …
Persistent link: https://www.econbiz.de/10011255793
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; Dijk, Herman K. van; Hoek, Henk - Tinbergen Instituut - 1997
This discussion paper resulted in a publication IN the <a HREF="http://people.few.eur.nl/hkvandijk/PDF/Koop_and_Van_Dijk_2000_JoE_testing_for_integration.pdf">'Journal of Econometrics'</a>, 2000, 97(2), 261-291.<p> In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the...</p>
Persistent link: https://www.econbiz.de/10011256048
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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ø. - Tinbergen Instituut - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … local power of the proposed tests dominates that of existing cointegration rank tests. …
Persistent link: https://www.econbiz.de/10011257175
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'Journal of Economic Dynamics and Control' (forthcoming).<P> This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution....</p>
Persistent link: https://www.econbiz.de/10011257469
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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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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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Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; … - Tinbergen Instituut - 2013
-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and … model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series …
Persistent link: https://www.econbiz.de/10011256108
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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
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008
volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be …
Persistent link: https://www.econbiz.de/10011255775