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Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10011300555

A New Quadratic Asymmetric Error Correction Model : Does Size Matter?

Mrabet, Zouhair - 2020

We introduce a new quadratic error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify the different sources of long-run nonlinearity, namely, quadratic nonlinearity, size asymmetry and sign...

Persistent link: https://www.econbiz.de/10012832538

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - 2023

We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time...

Persistent link: https://www.econbiz.de/10013479635

Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Shin, Yongcheol - 2013

This paper develops a cointegrating nonlinear autoregressive distributed lag (NARDL) model in which short- and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables. We demonstrate that the model is estimable by OLS and that...

Persistent link: https://www.econbiz.de/10013093594

Generalized Reduced Rank Tests Using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - 2003

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

Persistent link: https://www.econbiz.de/10014090630

Robust Inference in Models of Cointegration

Bunzel, Helle - 1998

single-equation cointegration environment that incorporates linear polynomial trend functions. The standard approach used to … conduct inference on the trend function, on the cointegration vector in a cointegration relationship, and on the parameters of …

Persistent link: https://www.econbiz.de/10014208373

Bootstrapping Systems Cointegration Tests with a Prior Adjustment forDeterministic Terms

Trenkler, Carsten - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers thestandard asymptotic test versions and the Johansen cointegration test for comparison. …

Persistent link: https://www.econbiz.de/10005861697

Estimation and inference in unstable nonlinear least squares models

Boldea, Otilia; Hall, Alastair R. - 2010

In this paper, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method for detecting multiple breaks to nonlinear models. To that end, we consider a nonlinear model that can be estimated via nonlinear least squares (NLS) and features a limited number of parameter shifts occurring at...

Persistent link: https://www.econbiz.de/10015221914

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

On whether foreign direct investment catalyzes economic development in Nigeria.

OKPARA, GODWIN CHIGOZIE - 2012

’s Statistical Bulletin. For the assessment of this impact, the author used co-integration and error correction model to arrive at a …

Persistent link: https://www.econbiz.de/10015230324