cointegrating regression
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
... nonparametric cointegrating regression take advantage of these characteristics and, in other respects, more closely relate to conventional nonparametric ...
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Structural Nonparametric Cointegrating Regression
... structural cointegrating regression model is stud- ...linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously ...functional ...
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Dynamic misspecification in nonparametric cointegrating regression
... for cointegrating regression under misspecified lag structure are derived, showing the NW estimator to be inconsistent, in general, with a ‘‘pseudo-true function’’ limit that is a local average of the true ...
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Dynamic Seemingly Unrelated Cointegrating Regression
... unrelated regression estimator for multiple-equation cointegrating regressions both in situations when the cointegration vector displays heterogeneity across equations and when it is ...unrelated ...
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Dynamic Misspecification in Nonparametric Cointegrating Regression
... Chang, Park and Phillips, 2001). Other subsequent work (Guerre, 2004; Karlsen, Mykel- bust and Tjøstheim, 2007; Schienle, 2008; Wang and Phillips, 2009a,b,c;) has developed a limit theory for nonparametric ...
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Dynamic Misspecification in Nonparametric Cointegrating Regression
... Park and Phillips (1999, 2001) developed a limit theory for nonlinear transformations of unit root processes that provides a theoretical base for modeling nonlinear long-run relations in a parametric framework (see also ...
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Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
... Tsai’s (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags ...
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Effects of Capital Market Components on Economic Growth in Nigeria: A Cointegrating Regression Approach
... This study adopted the cointegrating regression method of data analysis. Cointegration is a statistical test used in detecting the existence of long-run equilibrium relationship between two variables. ...
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Nonparametric LAD Cointegrating Regression
... nonparametric regression in the setup of [21] and derived the asymptotic distribution of the ...nonparametric regression estimators include nonparametric quantile regression ...nonparametric ...
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Specification Testing for Nonlinear Cointegrating Regression
... Cointegration models were originally developed in a linear parametric framework (En- gle and Granger, 1987) in econometrics that has been widely used in applications. That framework was extended in Park and Phillips ...
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The Role of Globalization in Energy Consumption: A Quantile Cointegrating Regression Approach
... Methodologically, the QARDL model is superior to linear models for at least three reasons. First, the model allows for locational asymmetry, in that the parameters may depend on the location of the dependent variable, ...
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Nonparametric LAD Cointegrating Regression
... nonparametric regression in the setup of [21] and derived the asymptotic distribution of the ...nonparametric regression estimators include nonparametric quantile regression ...nonparametric ...
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Efficient Estimation and Inference in Cointegrating Regressions with Structural Change
... In this paper we proposed to estimate the cointegrating regression model with structural change by the CCR estimation technique with the break point replaced by the estimated one. We first estimated the ...
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Nonstationary Nonlinear Heteroskedasticity in Regression
... the regression with errors having nonstationary nonlin- ear ...stationary regression and the non- stationary cointegrating regression, we develop the asymptotic theories for the least squares ...
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Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR
... As a deviation from the stance in extant literature on long-term relationships among variables, which was usually considered along the I(0) or I(1) characteristics, Caporin et al. (2013) and Barunik and Dvorakova (2015) ...
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A cointegrating stock trading strategy: application to listed tanker shipping companies
... The results from the trading strategy can be found in Fig. 2. Given that it is known that trading strategies highly depend on the investment horizon (Dierkes et al. 2010), we provide results for four different starting ...
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Estimating threshold vector error-correction models with multiple cointegrating relationships
... Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-variate model. However, in their conclusion they note that future research will have to find a way of estimating larger ...
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Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
... linear cointegrating specification? To do so, we modify the widely used regres- sion error specification test (RESET), which is a linearity test based on general approximation ...linear regression residuals ...
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A cointegrating stock trading strategy: application to listed tanker shipping companies
... The results from the trading strategy can be found in Fig. 2. Given that it is known that trading strategies highly depend on the investment horizon (Dierkes et al. 2010), we provide results for four different starting ...
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Comment on 'A Forecasting Equation for the Canada US Dollar Real Exchange Rate'
... Varlables in System19tt Testsfor Cointegratlon: Johansen 1nTOTCOMOD 1nRPFX,1nTOTENRGY' Numberof cointegrating vcctorS... DIscussb n: Robert Kolhrlp,nn.[r] ...
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