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Is double trouble? : how to combine cointegration tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … for cointegration to the same data set. -- Cointegration ; Meta Test ; Multiple Testing …

Persistent link: https://www.econbiz.de/10003835921

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10003919736

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

Persistent link: https://www.econbiz.de/10009672473

Two competitive models and their identification problem : the ESTAR and TSTAR model

Heinen, Florian; Michael, Stefanie; Sibbertsen, Philipp - 2011

Determining good parameter estimates in ESTAR models is known to be diffcult. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identifcation problem, the problem of properly distinguishing the transition function in relation to extreme parameter...

Persistent link: https://www.econbiz.de/10009012696

A note on testing for purchasing power parity

Heinen, Florian - 2011

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...

Persistent link: https://www.econbiz.de/10009012716

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

Belke, Ansgar; Czudaj, Robert - In: Applied economics quarterly 56 (2010) 4, pp. 285-315

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

Persistent link: https://www.econbiz.de/10009316570

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269

The validity of Okun's law in Nigeria : a difference model approach

Babalola, Sikiru Jimoh; Saka, Jimoh Olakunle; Adenuga, … - 2013

difference model approach of the Okun’s law are used even though one of them is frequently used in the literature. We utilize Var-cointegration …

Persistent link: https://www.econbiz.de/10009788571

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

Persistent link: https://www.econbiz.de/10009728982

Empirical analysis of employment and foreign direct investment in Malaysia : an ARDL bounds testing approach to cointegration

Pinn, Stan Lee Shun; Kok Sook Ching; Mori Kogid; Dullah … - In: Advances in management & applied economics 1 (2011) 3, pp. 77-91

, and ECM-ARDL model. The results show that there is no cointegration relationship between employment and the FDI in the … other way round. -- employment ; FDI ; cointegration ; causality ; Malaysia …

Persistent link: https://www.econbiz.de/10009569735