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Is Double Trouble? – How to Combine Cointegration Tests

Bayer, Christian; Hanck, Christoph - Rheinisch-Westfälisches Institut für … - 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/10005548374

Is double trouble? How to combine cointegration tests

Bayer, Christian; Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … for cointegration to the same data set. …

Persistent link: https://www.econbiz.de/10009216329

Bounds Testing Approaches to the Analysis of Long-run Relationships

Pesaran, M. Hashem; Shin, Y.; Smith, R.J. - Faculty of Economics, University of Cambridge - 1999

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

Persistent link: https://www.econbiz.de/10005489331

On stationarity and cointegration of international health expenditure and GDP

Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

The recent findings by McCoskey and Selden (1997, Journal of Health Economics, forthcoming) that health expenditure and GDP are stationary are driven by the omission of time trends in their ADF regressions. Since both health expenditure and GDP are trending, this omission raise serious doubts on...

Persistent link: https://www.econbiz.de/10005423835

A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change

Esteve, Vicente; Requena, Francisco - In: International Journal of the Economics of Business 13 (2006) 1, pp. 111-128

structural breaks in the series using cointegration techniques. The results show the existence of long-run equilibrium …

Persistent link: https://www.econbiz.de/10005437911

Multicointegration in US consumption data

Siliverstovs, Boriss - School of Economics and Management, University of Aarhus

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10005440004

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10011257374

Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina

Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015

Monthly time-series data based on agricultural commodities tend to present strong and particular patterns of seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of actual features of agricultural processes. Seasonal unit...

Persistent link: https://www.econbiz.de/10011266121

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

The Reaction Function of Three Central Banks

Arlt, Josef; Mandel, Martin - In: Prague Economic Papers 2014 (2014) 3, pp. 269-289

The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary policy rule, which would be able to describe the development of monetary policy rate, namely only on the basis of statistically measured and at the given time available...

Persistent link: https://www.econbiz.de/10011195627