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A Simple Mle of Cointegrating Vectors in Higher Order Integrated Systems

Stock, James H.; Watson, Mark W. - 2021

An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...

Persistent link: https://www.econbiz.de/10013237298

Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors

Peng, Zhen; Dong, Chaohua - In: Finance research letters 47 (2022) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10013553859

Time Series Models, Unit Roots, and Cointegration : An Introduction

Stevans, Lonnie K. - 2012

This is a concise review of time series including unit roots and cointegration analysis …

Persistent link: https://www.econbiz.de/10013115187

Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations

Kurita, Takamitsu; Shintani, Mototsugu - 2023

Persistent link: https://www.econbiz.de/10014383879

Testing for fractional cointegration in subsamples by allowing for structural breaks

Kreye, Tom Jannik - 2024

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … addressed here by allowing for a time-dependent memory parameter for the cointegration error. The tests are implemented by …

Persistent link: https://www.econbiz.de/10015175368