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Fractional cointegration rank estimation

Łasak, Katarzyna; Velasco, Carlos - 2014

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a …-r, and on the interval of the orders of fractional cointegration b allowed in the estimation, but not on the order of …

Persistent link: https://www.econbiz.de/10010244531

Cointegrating sectoral wages in Sweden : a maximum likelihood approach

Jacobson, Tor; Ohlsson, Henry - 1991

Persistent link: https://www.econbiz.de/10000129080

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

Persistent link: https://www.econbiz.de/10001730272

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - In: Allgemeines statistisches Archiv : AStA ; journal of … 89 (2005) 3, pp. 281-301

Persistent link: https://www.econbiz.de/10003050661

Agricultural policy reforms and spatial integration of food grain markets in India

Ghosh, Madhusudan - In: Journal of economic development 36 (2011) 2, pp. 15-37

Persistent link: https://www.econbiz.de/10009234548

Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

Anderson, Richard G. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003740180

Fractional cointegration rank estimation

Łasak, Katarzyna; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 241-254

Persistent link: https://www.econbiz.de/10011390032

Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...

Persistent link: https://www.econbiz.de/10009626747

Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators

Anderson, Richard G. - 2006

In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...

Persistent link: https://www.econbiz.de/10012732978