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Is trade deficit sustainable in India? An inquiry
Tiwari, Aviral - Volkswirtschaftliche Fakultät, … - 2010
This study examines the sustainability of trade deficit with allowance of structural breaks and seasonal adjustments as both variables have been subject to structural changes and affected by seasons. We find that, in all the cases, there is long run relationship between export and import. This...
Persistent link: https://www.econbiz.de/10008560078
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Nonparametric Rank Tests for Non-stationary Panels
Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 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/10009132675
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Cointegrating MiDaS Regressions and a MiDaS Test
Miller, J. Isaac - Economics Department, University of Missouri - 2011
This paper introduces cointegrating mixed data sampling (CoMiDaS) regressions, generalizing nonlinear MiDaS regressions in the extant literature. Under a linear mixed-frequency data-generating process, MiDaS regressions provide a parsimoniously parameterized nonlinear alternative when the linear...
Persistent link: https://www.econbiz.de/10009142640
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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The effect of structural breaks on the Engle-Granger test for cointegration
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - In: Estudios Económicos 27 (2012) 1, pp. 99-132
-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow … with I (1) processes without breaks. In some cases, breaks bias the EG test towards both rejecting a true cointegration …
Persistent link: https://www.econbiz.de/10010681105
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From complements to substitutes: Structural breaks in the elasticity of substitution between paid-employment and self-employment in the US
Congregado, Emilio; Esteve, Vicente; Golpe, Antonio A. - Departament d'Estructura Econòmica, Facultad de Economía - 2013
This paper provides estimates of the elasticity of substitution between operational and managerial jobs in the US economy during the years 1969-2011, derived from an aggregate CES production function. Estimating the long-term relationship between (the log of) the aggregate...
Persistent link: https://www.econbiz.de/10010695843
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Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - Graduate School of Economics, Hitotsubashi University - 2013
In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic … possible cointegration across units. …
Persistent link: https://www.econbiz.de/10010699796
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Robust inference in nonstationary time series models
Xiao, Zhijie - In: Journal of Econometrics 169 (2012) 2, pp. 211-223
This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important …, and testing for cointegration. We analyze these inference problems in a unified regression framework, although separate …
Persistent link: https://www.econbiz.de/10010664707
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Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model
Bahmani-Oskooee, Mohsen; Ng, Raymond Chi Wing - In: International Journal of Business and Economics 1 (2002) 2, pp. 147-155
We examine the long-run demand for money of Hong Kong using the autoregressive distributed lag (ARDL) cointegration …
Persistent link: https://www.econbiz.de/10010600619
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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/10010324535