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Rejoinder : A Note on Wavelet Correlation and Cointegration

Leong, Chee Kian - 2014

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

Persistent link: https://www.econbiz.de/10014143753

Model Specification Test with Correlated But Not Cointegrated Variables

Gan, Li - 2013

Many macroeconomic and financial variables show highly persistent and correlated patterns but not necessarily cointegrated. Recently, Sun, Hsiao and Li (2010) propose using a semiparametric varying coefficient approach to capture correlations between integrated but non cointegrated variables....

Persistent link: https://www.econbiz.de/10013077119

Correlation, Regression, and Cointegration of Nonstationary Economic Time Series

Johansen, Soren - 2008

Yule (1926) introduced the concept of spurious or nonsense correlation, and showed by simulation that for some … distinguish between empirical and population correlation coefficients and show in a bivariate autoregressive model for … nonstationary variables that the empirical correlation and regression coefficients do not converge to the relevant population values …

Persistent link: https://www.econbiz.de/10012723932

Testing for panel cointegration using common correlated effects estimators

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...

Persistent link: https://www.econbiz.de/10012010208

Engle-Granger representation in spatial and spatio-temporal models

Bhattacharjee, Arnab; Ditzen, Jan; Holly, Sean - 2024

The literature on panel models has made considerable progress in the last few decades, integrating non-stationary data both in the time and spatial domain. However, there remains a gap in the literature that simultaneously models non-stationarity and cointegration in both the time and spatial...

Persistent link: https://www.econbiz.de/10015062152

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

Persistent link: https://www.econbiz.de/10009767620

High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach

Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110

Persistent link: https://www.econbiz.de/10010339601

Doubly Multiplicative Error Models with Long– and Short–run Components

Amendola, Alessandra; Candila, Vincenzo; Cipollini, Fabrizio - 2020

We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low–, respectively, high–frequency features in the data. We derive the theoretical properties of the Maximum Likelihood and...

Persistent link: https://www.econbiz.de/10014096506

Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets

Guidi, Francesco; Gupta, Rakesh - 2023

structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …

Persistent link: https://www.econbiz.de/10014353334

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration

Johansen, Soren - 2012

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

Persistent link: https://www.econbiz.de/10013097567