Similar Search Results

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

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

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

Persistent link: https://www.econbiz.de/10010255111

Nonlinear Cointegrating Regression Under Weak Identification

Shi, Xiaoxia - 2010

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...

Persistent link: https://www.econbiz.de/10013138228

A Note on Bartlett Correction Factor for Tests on Cointegrating Relations

Canepa, Alessandra - 2020

In this paper it is proposed to use a non-parametric bootstrap based Bartlett correction factor for the LR test for linear restrictions on the cointegrating vectors to reduce the finite sample size distortion problem of the test statistic

Persistent link: https://www.econbiz.de/10012843778

Likelihood-Based Inference in Nonlinear Error-Correction Models

Rahbek, Anders - 2008

trend in general. Gaussian likelihood-based estimators are considered for the long-run cointegration parameters, and the … mixed normaity can be found. A simulation study reveals that cointegration vectors and the shape of the adjustment are quite …

Persistent link: https://www.econbiz.de/10012725667

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Phillips, Peter C. B. - 2006

It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...

Persistent link: https://www.econbiz.de/10012783451

The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term

Gatarek, Lukasz - 2017

The role of cointegration is analysed for optimal hedging of an h-period portfolio. Prices are assumed to be generated … maximizes the Sharpe ratio is found, and it is shown that it also approaches a cointegration portfolio. For constant conditional … cointegration. In case of conditional heteroscedasticity, however, only the expected conditional variance can be estimated without …

Persistent link: https://www.econbiz.de/10012961070

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua - 2016

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10013006720

Nonlinear Cointegrating Power Function Regression with Endogeneity

Hu, Zhishui - 2019

This paper develops an asymptotic theory for nonlinear cointegrating power function regression. The framework extends earlier work on the deterministic trend case and allows for both endogeneity and heteroskedasticity, which makes the models and inferential methods relevant to many empirical...

Persistent link: https://www.econbiz.de/10012858171