Similar Search Results

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10011439261

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Nonparametric rank tests for non-stationary panels

Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

Persistent link: https://www.econbiz.de/10009686205

Testing Brazilians' imports and exports co-integration with monthly data for 1996-2005

Hollauer, Gilberto; Mendonça, Marco Aurélio Alves de - 2015

constraints (IBC) condition via unit root test with structural break and co-integration through Gregory-Hansen test in a 117 long … does not hold for the Brazilian economy. However, there is co-integration among the series used in this work and the …

Persistent link: https://www.econbiz.de/10012038482

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

Testing for panel cointegration using common correlated effects estimators

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017

used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

Persistent link: https://www.econbiz.de/10012010208

Tax and spend, spend and tax, fiscal synchronisation or institutional separation? : examining the case of Greece

Richter, Christian; Dimitrios, Paparas - In: Romanian journal of fiscal policy : RJFP 4 (2013) 2, pp. 1-17

, the Johansen (1988) cointegration approach and finally the Granger (1969) causality tests. We found strong evidence of …

Persistent link: https://www.econbiz.de/10010480257

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125

Is euro area money demand (still) stable? : cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …

Persistent link: https://www.econbiz.de/10003939738

Is euro area money demand (still) stable? : cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …

Persistent link: https://www.econbiz.de/10003941679