Similar Search Results

Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

Cai, Biqing - 2015

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...

Persistent link: https://www.econbiz.de/10013014831

Hermite Series Estimation in Nonlinear Cointegrating Models

Cai, Biqing - 2013

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We …

Persistent link: https://www.econbiz.de/10013078209

Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)

Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271

specification needs a better theoretical grounding. Evidence of nonlinearities has been found by different estimation techniques …

Persistent link: https://www.econbiz.de/10011865510

Model selection procedures in bounds test of cointegration : theoretical comparison and empirical evidence

Badshah, Waqar; Bulut, Mehmet - In: Economies : open access journal 8 (2020) 2/49, pp. 1-23

cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely … (Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information …

Persistent link: https://www.econbiz.de/10012238626

Parameter Estimation and Inference with Spatial Lags and Cointegration

Mutl, Jan - 2017

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

Persistent link: https://www.econbiz.de/10012974454

Robust multivariate local whittle estimation and spurious fractional cointegration

Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019

and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

Persistent link: https://www.econbiz.de/10012105358

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their con- sistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...

Persistent link: https://www.econbiz.de/10011845794

A comparison of semiparametric tests for fractional cointegration

Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - 2019

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time …

Persistent link: https://www.econbiz.de/10011957940

A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

Kapetanios, George - 2003

We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on...

Persistent link: https://www.econbiz.de/10014093431

The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper

Schreiber, Sven - 2014 - This version: February 2014

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent …

Persistent link: https://www.econbiz.de/10010489880