cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a … monetary model for China, in which we include also other monetary policy tools besides the central bank interest rate, namely … reserve requirement ratios and open market operations. Our results suggest China has been relatively successful in isolating …

Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and …, but can be modeled with partial cointegration. …

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …

The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers … Johansen cointegration technique as a tool capable of analysing both competitive and imperfect market situations is also …