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Arbitrage, market definition and monitoring : a time series approach

Hunter, John; Burke, Simon P. - In: International journal of applied economics and … 22 (2014) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10010396226

Threshold adjustment in the current account : sustainability for danger zone economies?

Akdoğan, Kurmaş - In: Applied economics letters 21 (2014) 13/15, pp. 1006-1009

Persistent link: https://www.econbiz.de/10010418270

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

Persistent link: https://www.econbiz.de/10010484411

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

Analyzing and forecasting electricity consumption in energy-intensive industries in Rwanda

Mburamatare, Daniel; Gboney, William K.; Hakizimana, … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 483-493

Persistent link: https://www.econbiz.de/10013189452

Detecting tranquil and bubble periods in housing markets : a review and application of statistical methods

Nagayasu, Jun - In: Recent econometric techniques for macroeconomic and …, (pp. 79-111). 2021

We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in...

Persistent link: https://www.econbiz.de/10012395374

The Econometric analysis of non-stationary spatial panel data

Beenstock, Michael; Felzenshtain, Daniyel - 2019

and Econometrics -- 4 The Spatial Conectivity Matrix -- 5 Unit Root and Cointegration Tests in Spatial Cross-Section Data … -- 6 Spatial Vector Autoregressions -- 7 Unit Root and Cointegration Tests for Spatially Dependent Panel Data -- 8 … Cointegration in Non-Stationary Panel Data -- 9 Spatial Vector Error Correction -- 10 Strong and Weak Cross-Section Dependence in …