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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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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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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 objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...
Persistent link: https://www.econbiz.de/10011862130
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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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Cointegration tests using instrumental variables
Lee, Junsoo; Yucel, Ali Gokhan - In: International journal of empirical economics 1 (2022) 2, pp. 1-39
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
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Limit theory for explosively cointegrated systems
Phillips, Peter C. B. - In: Econometric theory 24 (2008) 4, pp. 865-887
Persistent link: https://www.econbiz.de/10003736837
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Spurious relationships for nearly non-stationary series
Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10012626690
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Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market
Bunn, Derek W.; Koc, Veli; Sapio, Alessandro - In: Energy economics 48 (2015), pp. 265-275
Persistent link: https://www.econbiz.de/10011533816
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Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices
Maples, Joshua G.; Brorsen, B. Wade - In: Canadian journal of agricultural economics : CJAE 70 (2022) 2, pp. 139-152
Persistent link: https://www.econbiz.de/10013384688