Showing 1 - 10 of 4,050
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011784570
cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …
Persistent link: https://www.econbiz.de/10010484411
Persistent link: https://www.econbiz.de/10013260145
This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …
Persistent link: https://www.econbiz.de/10003919736
assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …
Persistent link: https://www.econbiz.de/10009612036
This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of … regressors, differing deterministic terms, structural dummies, and inclusion of stationary covariates. Thus, our IV cointegration …
Persistent link: https://www.econbiz.de/10014331711
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10014203187
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/10011300555
single-equation cointegration environment that incorporates linear polynomial trend functions. The standard approach used to … conduct inference on the trend function, on the cointegration vector in a cointegration relationship, and on the parameters of …
Persistent link: https://www.econbiz.de/10014208373
HAC estimators are known to produce test statistics that reject too frequently in finite samples. One neglected reason comes from using the OLS residuals when constructing the HAC estimator. If the regression matrix contains high leverage points, such as from outliers, then the OLS residuals...
Persistent link: https://www.econbiz.de/10012991598