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Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …

Persistent link: https://www.econbiz.de/10011650498

On the validity of tests for asymmetry in residual-based threshold cointegration models

Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13

finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases …

Persistent link: https://www.econbiz.de/10012025641

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012265709

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are...

Persistent link: https://www.econbiz.de/10011653607

Fractional unit root tests allowing for a structural change in trend under both the null and alternative hypotheses

Chang, Seong Yeon; Perron, Pierre - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and...

Persistent link: https://www.econbiz.de/10011654059

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011781945

Cointegration, root functions and minimal bases

Franchi, Massimo; Paruolo, Paolo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-27

This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...

Persistent link: https://www.econbiz.de/10012617251

Cointegration and structure in Norwegian wage-price dynamics

Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics : open access journal 8 (2020) 3/29, pp. 1-15

leader. We estimate a model of wage formation in manufacturing and in two other sectors. Deciding cointegration rank is an … cointegration analysis provides evidence that collective wage negotiations in manufacturing have defined wage norms for the rest of …

Persistent link: https://www.econbiz.de/10012265703

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

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