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Testing for stationarity in a cointegrated system
Kunst, Robert M. - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10010292762
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Is Double Trouble? – How to Combine Cointegration Tests
Bayer, Christian; Hanck, Christoph - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …
Persistent link: https://www.econbiz.de/10010264719
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On the existence of the moments of the asymptotic trace statistic
Örsal, Deniz Dilan Karaman; Droge, Bernd - 2009
whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …
Persistent link: https://www.econbiz.de/10010263761
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The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests : Monte Carlo Results and a Simple Test
Corradi, Valentina; Swanson, Norman R. - 2003
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics … substantive effect that incorrect transformation can have on the finite sample performance of common feature and cointegration …
Persistent link: https://www.econbiz.de/10010263220
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010264545
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Consumption and population age structure
Erlandsen, Solveig; Nymoen, Ragnar - 2004
In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. Despite this, age structure effects are rarely controlled for in...
Persistent link: https://www.econbiz.de/10010284297
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Powerful t-Tests in the presence of nonclassical measurement error
Kim, Dongwoo; Wilhelm, Daniel - 2023
This paper proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in linear regression is equal to zero when a regressor is mismeasured. We assume there are two contaminated measurements of the regressor of interest. We allow the two measurement errors to be...
Persistent link: https://www.econbiz.de/10014480598
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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …
Persistent link: https://www.econbiz.de/10010293734