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Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...

Persistent link: https://www.econbiz.de/10003808637

The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

Johansen, Søren - 2001

Persistent link: https://www.econbiz.de/10001582517

New directions in econometric practice : general to specific modelling, cointegration and vector autoregression

Charemza, Wojciech; Deadman, Derek F. - 1997 - 2. ed.

Persistent link: https://www.econbiz.de/10000613833

Common periodic correlation features and the interaction of stocks and flows in daily airport data

Haldrup, Niels; Hylleberg, Svend; Pons Rotger, Gabriel; … - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 21-32

Persistent link: https://www.econbiz.de/10003410137

Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin'ichi - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1013-1054

Persistent link: https://www.econbiz.de/10011303548

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus; Teis, Stefan - 2015

This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European …,1) processes are used to model the cointegration relationship. Furthermore, this cointegration relationship is contaminated with … jumps. Based on these processes, the power and size properties of ten contemporary cointegration tests are assessed. We …

Persistent link: https://www.econbiz.de/10011341383