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

Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 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/10011257374

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

Haldrup, Niels; Jansson, Michael - 1999

Persistent link: https://www.econbiz.de/10010324535

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

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

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, a notion of near cointegration...

Persistent link: https://www.econbiz.de/10005137044

Transmission effects in the presence of structural breaks : evidence from South-Eastern European countries

Kukuritakēs, Minōas; Papadopoulos, Athanasios P.; … - In: Economic modelling 41 (2014), pp. 298-311

Persistent link: https://www.econbiz.de/10010439150

Technology-based ventures and sustainable development : cointegrating and causal relationships with a panel data approach

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A new Cramer-Von Misses cointegration test with application to environmental Kuznets curve

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Testing the historic tracking of climate models

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Persistent link: https://www.econbiz.de/10011622142

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

Persistent link: https://www.econbiz.de/10011300555

Causality between exchange rates and foreign exchange reserves : Serbian case

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The time series properties of the real exchange rates between the member states of the European Monetary Union

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Persistent link: https://www.econbiz.de/10012229937