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The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005787110
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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial … process and define a generalized two-stages least squares estimator for the regression parameters of the model. We prove …
Persistent link: https://www.econbiz.de/10003808637
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Spurious regression, cointegration, and near cointegration : a unifying approach
Haldrup, Niels; Jansson, Michael - 1999
This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...
Persistent link: https://www.econbiz.de/10011300555
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Nonlinear cointegration analysis and the environmental Kuznets curve
Hong, Seung Hyun; Wagner, Martin - 2008
Recent years have seen a growing literature on the environmental Kuznets curve (EKC) that resorts in a large part to cointegration techniques. The EKC literature has failed to acknowledge that such regressions involve unit root nonstationary regressors and their integer powers (e.g. GDP and GDP...
Persistent link: https://www.econbiz.de/10009735348
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On an estimation method for an alternative fractionally cointegrated model
Carlini, Federico; Łasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010348412
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Nonlinear Cointegrating Regression Under Weak Identification
Shi, Xiaoxia - 2010
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...
Persistent link: https://www.econbiz.de/10013138228
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Improving the Finite-Sample Estimators of Cointegrated Panel Models
Sender, Samuel J. - 2014
-step OLS estimator that is biased, and has weak power and size, FMOLS also has poor finite-T properties. I show that FMOLS … asymptotically leave an O(h/T) fraction of the OLS bias, where h is the selected bandwidth.I also propose an improved estimator … (asymptotically) nuisance parameter-free. My improved estimator permits analysing wider panels.In the scenarios reviewed by previous …
Persistent link: https://www.econbiz.de/10013064659
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Bias Correcting Adjustment Coefficients in a Cointegrated VAR with Known Cointegrating Vectors
van Garderen, Kees Jan - 2013
The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is … condition for the unbiasedness of the maximum likelihood estimator of the adjustment coefficients, and provide a simple …
Persistent link: https://www.econbiz.de/10013072374
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Estimating Smooth Structural Change in Cointegration Models
Phillips, Peter C. B. - 2013
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10013075944
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Estimating Smooth Structural Change in Cointegration Models
Phillips, Peter C. B. - 2013
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10013075992