Narrow search
Showing 1 - 10 of 85
Cover Image
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
Cover Image
Autoregressive Approximations of Multiple Frequency I(1) Processes
Bauer, Dietmar; Wagner, Martin - Department of Economics and Finance Research and … - 2005
We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...
Persistent link: https://www.econbiz.de/10005823256
Cover Image
Nonparametric Rank Tests for Non-stationary Panels
Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …
Persistent link: https://www.econbiz.de/10009132675
Cover Image
Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - In: Journal of Econometrics 178 (2014) 2, pp. 741-760
This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of...
Persistent link: https://www.econbiz.de/10010730144
Cover Image
Nonparametric rank tests for non-stationary panels
Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391
We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...
Persistent link: https://www.econbiz.de/10011190711
Cover Image
Cointegration analysis with state space models
Wagner, Martin - In: AStA Advances in Statistical Analysis 94 (2010) 3, pp. 273-305
Persistent link: https://www.econbiz.de/10008775606
Cover Image
Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
Vogelsang, Timothy J.; Wagner, Martin - Department of Economics and Finance Research and … - 2011
This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of...
Persistent link: https://www.econbiz.de/10008805632
Cover Image
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
Cover Image
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
Cover Image
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