Similar Search Results

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Persistent link: https://www.econbiz.de/10010289485

Nonparametric rank tests for non-stationary panels

Pedroni, Peter; 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 …

Persistent link: https://www.econbiz.de/10010290983

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

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

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

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

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

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

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