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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - 2011
Persistent link: https://www.econbiz.de/10008902919
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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - 2011
literature. -- bandwidth ; cointegration ; fixed-b asymptotics ; fully modified OLS ; IM-OLS ; kernel …
Persistent link: https://www.econbiz.de/10009686172
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012619980
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009267787
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Growth regressions, principal components and frequentist model averaging
Wagner, Martin; Hlouskova, Jaroslava - 2009
This paper offers two innovations for empirical growth research. First, the paper discusses principal components augmented regressions to take into account all available information in well-behaved regressions. Second, the paper proposes a frequentist model averaging framework as an alternative...
Persistent link: https://www.econbiz.de/10009734674
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009686209
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Growth regressions, principal components and frequentist model averaging
Wagner, Martin; Hlouskova, Jaroslava - 2009
Persistent link: https://www.econbiz.de/10003839749
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Bierens' and Johansen's method: Complements or substitutes?
Wagner, Martin - 1999
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …
Persistent link: https://www.econbiz.de/10010291926
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Cointegration analysis with state space models
Wagner, Martin - 2010
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …
Persistent link: https://www.econbiz.de/10010294007
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The Carbon Kuznets Curve: A cloudy picture emitted by bad econometrics?
Wagner, Martin - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10010294035