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We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …
Persistent link: https://www.econbiz.de/10014116819
this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …
Persistent link: https://www.econbiz.de/10014221890
This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use … provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a … not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation …
Persistent link: https://www.econbiz.de/10014084250
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...
Persistent link: https://www.econbiz.de/10009582384
This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …
Persistent link: https://www.econbiz.de/10009611542
fractionally differenced data. In the estimation, we use a computationally convenient equation-by-equation conditional … asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing … desirable properties for our estimation method. Finally, an empirical application to the long-run relationship between real GDP …
Persistent link: https://www.econbiz.de/10013031907
change in operating procedures of the Fed in September 1979. This finding casts some doubts on cointegration tests of the …
Persistent link: https://www.econbiz.de/10014235539
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...
Persistent link: https://www.econbiz.de/10009611541
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...
Persistent link: https://www.econbiz.de/10009611543