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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - 2008

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

Persistent link: https://www.econbiz.de/10014217224

A Residual-Based Cointegration Test for Near Unit Root Variables

Hjalmarsson, Erik; Österholm, Pär - 2007

this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

Persistent link: https://www.econbiz.de/10014221890

Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis

Wu, Jason - 2011

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …

Persistent link: https://www.econbiz.de/10013127087

Rejoinder : A Note on Wavelet Correlation and Cointegration

Leong, Chee Kian - 2014

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

Persistent link: https://www.econbiz.de/10014143753

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - 1997

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...

Persistent link: https://www.econbiz.de/10014149909

Multicointegration in Us Consumption Data

Siliverstovs, Boriss - 2002

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/10014124408

A Residual-Based Test for Stochastic Cointegration

McCabe, Brendan P.M; Leybourne, Stephen J.; Harris, David - 2006

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration … the standard integration/cointegration paradigm through the introduction of nonstationary heteroscedasticity. We propose a … test for stochastic cointegration against the alternative of no cointegration and a secondary test for stationary …

Persistent link: https://www.econbiz.de/10014057614

Inference on Cointegrating Ranks Using Pseudo Lm Tests

Lucas, Andre - 1997

This paper considers Lagrange Multiplier (LM) tests for determining the cointegrating rank of a vector autoregressive system. In order to deal with outliers and possible fat-tailedness of the error process, non-Gaussian like-lihoods are used to carry out the estimation. The limiting...

Persistent link: https://www.econbiz.de/10014060488

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard - 2004

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

Persistent link: https://www.econbiz.de/10014071206

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …

Persistent link: https://www.econbiz.de/10014075928