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Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
Cai, Biqing - 2015
This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...
Persistent link: https://www.econbiz.de/10013014831
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Hermite Series Estimation in Nonlinear Cointegrating Models
Cai, Biqing - 2013
This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We …
Persistent link: https://www.econbiz.de/10013078209
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Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)
Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271
This paper presents econometric estimates for the Brazilian aggregate imports over the period 1996-2010. To the best of our knowledge, this is the first paper that uses the Brazilian quarterly national accounts with this goal in mind. Besides estimating a demand equation (canonical model), as it...
Persistent link: https://www.econbiz.de/10011865510
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard - 2004
We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …
Persistent link: https://www.econbiz.de/10014071206
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …
Persistent link: https://www.econbiz.de/10014071881
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard - 2004
We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …
Persistent link: https://www.econbiz.de/10014116819
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Model selection procedures in bounds test of cointegration : theoretical comparison and empirical evidence
Badshah, Waqar; Bulut, Mehmet - In: Economies : open access journal 8 (2020) 2/49, pp. 1-23
cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely … (Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information …
Persistent link: https://www.econbiz.de/10012238626
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
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The perils of counterfactual analysis with integrated processes
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016
are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …
Persistent link: https://www.econbiz.de/10011579472
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The forward pricing function of industrial metal futures : evidence from cointegration and smooth transition regression analysis
Beckmann, Joscha; Czudaj, Robert - In: International review of applied economics 27 (2013) 4, pp. 472-490
Persistent link: https://www.econbiz.de/10009781087