Narrow search
Showing 1 - 10 of 35,529
Cover Image
Engle-Granger representation in spatial and spatio-temporal models
Bhattacharjee, Arnab; Ditzen, Jan; Holly, Sean - 2024
-stationarity and cointegration in both the time and spatial dimensions. This paper develops Granger representation theorems for spatial …
Persistent link: https://www.econbiz.de/10015062152
Cover Image
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
Cover Image
Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
Cover Image
A covariate residual-based cointegration test applied to the CDS-bond basis
Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192
Persistent link: https://www.econbiz.de/10010225442
Cover Image
Extreme canonical correlations and high-dimensional cointegration analysis
Onatski, Alexei; Wang, Chen - 2017
Persistent link: https://www.econbiz.de/10012667643
Cover Image
Canonical correlation analysis in panel vector error correction model performance comparison
Kebłowski, Piotr - In: Central European journal of economic modelling and … 8 (2016) 4, pp. 203-217
Persistent link: https://www.econbiz.de/10011634918
Cover Image
Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation
Moosa, Imad A. - In: Applied economics 49 (2017) 15, pp. 1483-1490
Persistent link: https://www.econbiz.de/10011813612
Cover Image
Codependent VAR models and the pseudo-structural form
Trenkler, Carsten; Weber, Enzo - 2012
variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio …
Persistent link: https://www.econbiz.de/10011489949
Cover Image
A semiparametric panel data model with common factors and spatial dependence
Soberon, Alexandra; Musolesi, Antonio; Rodriguez-Poo, … - 2022
Persistent link: https://www.econbiz.de/10013171085
Cover Image
Instrumental variables estimation in large heterogeneous panels with multifactor structure
Forchini, Giovanni; Jiang, Bin; Peng, Bin - In: Journal of econometric methods 9 (2020) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012197327