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US house prices by census division : persistence, trends and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...

Persistent link: https://www.econbiz.de/10013472362

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

Persistent link: https://www.econbiz.de/10014500904

Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …

Persistent link: https://www.econbiz.de/10014241989

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Leslie T. - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10014191117

Persistent and long-term co-movements between gender equality and global prices

Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - In: Economies : open access journal 12 (2024) 7, pp. 1-15

Engle and Granger, the order of integration of the estimated errors is very close to 1, showing no evidence of cointegration … cointegration, indicating evidence of long-term co-movements between the two indices. The findings suggest that investment …

Persistent link: https://www.econbiz.de/10014636175

Fully modified narrow-band least squares estimation of stationary fractional cointegration

Nielsen, Morten Ørregaard (contributor); … - 2008

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003742079

Fully modified Narrow-Band least squares estimation of weak fractional cointegration

Frederiksen, Per; Nielsen, Morten Ørregaard - 2009

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003919719

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

The health–income nexus for Malaysia : ARDL cointegration and Rao’s F-test for causality

Tang, Chor Foon - In: Asian Journal of Empirical Research 2 (2012) 1, pp. 1-8

apply the bounds testing approach to cointegration and the system-wise Rao’s F-test with bootstrap simulation procedure. The … running from real income to health care expenditure in Malaysia. -- cointegration ; causality ; health-income nexus ; Malaysia …

Persistent link: https://www.econbiz.de/10009721101

Exports and capacity constraints : a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2013

Traditional specifications of export equations incorporate foreign demand as a demand pull factor and the real exchange rate as a relative price variable. However, such standard export equations have failed to explain the export performance of euro area countries during the crisis period. In...

Persistent link: https://www.econbiz.de/10010195462