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A Simple Cointegration Test Robust to Serial Correlation

Olmo, Jose - 2022

This paper presents a novel test of cointegration that is robust to general forms of weak dependence in the innovation …-based tests. In the scalar case our test is two sided and does not require pre-estimation of the cointegration relationship. Under … cointegration, the test converges to zero for beta>0, and four, for beta<0, with beta the cointegrating parameter. Under the null …

Persistent link: https://www.econbiz.de/10014077762

Cao, Shiyun; Zhou, Qiankun - In: Econometrics : open access journal 10 (2022) 3, pp. 1-27

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error structures. We adopted the common correlated effect (CCE) estimation and established the asymptotic properties of the CCE and common correlated effects mean group (CCEMG) estimators, as...

Persistent link: https://www.econbiz.de/10013459498

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

House prices and housing investment in Sweden and the United Kingdom : econometric analysis for the period 1970 - 1998

Barot, Bharat (contributor); Yang, Zan (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001719190

House prices and housing investment in Sweden and the UK : econometric analysis for the period 1970 - 1998

Barot, Bharat; Yang, Zan - In: Review of urban & regional development studies : … 14 (2002) 2, pp. 189-216

Persistent link: https://www.econbiz.de/10001727221

Boom-bust housing price dynamic : the case of Malaysia

Yip, Chee Yin; Woo Kok Hoong; Oon Kam Hoe; Nabihah … - In: International journal of economics and financial issues … 7 (2017) 4, pp. 132-138

Persistent link: https://www.econbiz.de/10011823183

Relationship between residential property prices and macroeconomıc variables in Turkey

Bozdereli, Arzu Alvan; Rahmatzada, Qais - In: Applied economics letters 31 (2024) 8, pp. 743-749

Persistent link: https://www.econbiz.de/10014557857

Forecasting the US housing market

Kouwenberg, Roy; Zwinkels, Remco C. J. - In: International journal of forecasting 30 (2014) 3, pp. 415-425

Persistent link: https://www.econbiz.de/10010511582

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

Co-integration and error correction estimation to forecast tourism in El Salvador

Vanegas, Manuel - In: Journal of travel and tourism marketing 30 (2013) 5/6, pp. 523-537

Persistent link: https://www.econbiz.de/10010199549