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Errors-in-Variables Estimation with No Instruments
Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009
This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...
Persistent link: https://www.econbiz.de/10008487529
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Seasonal adjustment and cointegration
Otero, Jesus; Smith, Jeremy - UNIVERSIDAD DEL ROSARIO - 2002
We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration …
Persistent link: https://www.econbiz.de/10005769431
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International Health Expenditure and GDP: New Multivariate Cointegration Panel Data Results
Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
In this paper we test for existence of cointegration between health expenditure and GDP using data from 19 OECD …-based inference and a new panel test for cointegration rank are presented. The empirical modelling is based on a bivariate vector …
Persistent link: https://www.econbiz.de/10005771158
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Cointegration and the joint confirmation hypothesis
Gabriel, Vasco J. - Núcleo de Investigação em Políticas Económicas … - 2001
root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for … testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the …
Persistent link: https://www.econbiz.de/10005771629
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Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes.
Corradi, V.; Swanson, N.; White, H. - Department of Economics, Pennsylvania State University - 1996
In this paper we introduce a class of nonlinear data generating processes (DGPs) that ara first order Markov and can be represented as the sum of a linear plus a bounded nonlinear component.
Persistent link: https://www.econbiz.de/10005777014
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10005137044
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A New Approach to Robust Inference in Cointegration
Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005
A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....
Persistent link: https://www.econbiz.de/10005593449
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AN EMPIRICAL ANALYSIS OF SUSTAINABILITY OF TRADE DEFICIT: EVIDENCE FROM SRI LANKA
PERERA, Nelson; VARMA, Reetu - In: International Journal of Applied Econometrics and … 5 (2008) 1, pp. 79-92
examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The …
Persistent link: https://www.econbiz.de/10005607426
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On stationarity and cointegration of international health expenditure and GDP
Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
The recent findings by McCoskey and Selden (1997, Journal of Health Economics, forthcoming) that health expenditure and GDP are stationary are driven by the omission of time trends in their ADF regressions. Since both health expenditure and GDP are trending, this omission raise serious doubts on...
Persistent link: https://www.econbiz.de/10005423835
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A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change
Esteve, Vicente; Requena, Francisco - In: International Journal of the Economics of Business 13 (2006) 1, pp. 111-128
structural breaks in the series using cointegration techniques. The results show the existence of long-run equilibrium …
Persistent link: https://www.econbiz.de/10005437911