Estimation of the cointegrating vector
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
... Due to the highly non-standard limiting distribution of estimators and test statistics, we propose to implement the estimation and testing procedures using bootstrapping based on the ideas developed in Cavaliere, ...
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Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data
... single cointegrating vector and for time series sampled at a common ...multiple cointegrating vectors as well as data that may be sampled at different frequencies while simultaneously distinguishing ...
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Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors
... first cointegrating vector (equation 16) indicates that the exchange rate is determined by current account balance independent of net capital inflows (zero restriction on domestic and foreign interest ...
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Estimation of the cointegrating rank in fractional cointegration
... Remark 3. Results in Theorem 3 are comparable to those of Theorem 12.3 of Johansen (1995) derived for standard cointegration, although there are a couple of differences. First, (5) is better than Johansen’s result (who ...
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Instrumental variables estimation of stationary and nonstationary cointegrating regressions
... where A is a P (P + Q) matrix of rank P and U t is a P 1 unobservable sequence. In frequent econometric practice, U t is assumed to be a vector of I(0) variables, and W t a vector of I(1) variables. In that ...
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Estimating threshold vector error-correction models with multiple cointegrating relationships
... Of course, if one uses a suitably large grid, they are more likely to suffer from unnecessary computational expense than a loss of efficiency. However, although this is not too important when carrying out the ...
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Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
... the vector e θ has elements that converge at different rates, obtaining formal results for the Wald statistics requires a condition on R that is unnecessary when all estimated coefficients converge at the same ...
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Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data
... this vector in the cointegrated system considered here but would result in kn S 1 + n 1 F cointegration equations and kn S 2 + n F 2 stochastic ...resulting vector of disturbances – an expanded version of ξ ...
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Bootstrapping Cointegrating Regressions
... ¯nite-order vector autoregressions for the regression errors and the ¯rst di®erences of the ...e±cient estimation and hypothesis testing, we consider the procedure proposed by Saikkonen (1991) and Stock and ...
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Semiparametric Cointegrating Rank Selection
... a vector autore- gressive framework, it is possible to use reduced rank formulations in regressions of the time series on a …xed (or expanding) number of deterministic basis functions such as time polynomials or ...
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Semiparametric Estimation of Fractional Cointegrating Subspaces
... the cointegrating rank) lie close to the space of true cointegrating vectors with high ...the cointegrating rank was greater than one, and furthermore, that the memory parameter of the ...
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Efficient Estimation and Inference in Cointegrating Regressions with Structural Change
... the cointegrating relation and structural change by using previously explained ...canonical cointegrating regression (CCR) method by Park (1992) and the fully modified regression (FMR) technique by Phillips ...
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The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified *
... prespecified cointegrating vector = (1, - ) : y = µ + 1t 1·2 1·2 t + y + 2t 1·2 (y 1t-1 - y 2t-1 ) + C (L) y 11 1t-1 + C (L) 12 y 2t-1 + t (1) where C (L) and C (L) are lag polynomials of orders l and p, y ...
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The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.
... prespecified cointegrating vector, proposed by Kremers, Ericsson and Dolado (1992), hereafter KED, has not been used empirically because its asymptotic distribution depends on a nuisance parameter that can ...
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Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions
... accurate estimation is obtained with temporal disaggregated data, although the dispersion ofthe empiricaldistribution hardly decreases, showingthe sample size ...
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“Linear” fully modified OLS estimation of cointegrating polynomial regressions
... uses cointegrating regres- sions involving a unit root process and its powers as ...squares estimation methods for linear cointegrating regressions are routinely ...to estimation leads for the ...
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The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
... In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. We demonstrate that the role of leads is ...
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The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
... (1987), cointegrating regressions have become one of the standard tools in analyzing integrated (I(1)) ...canonical cointegrating regression estimator, and the dynamic OLS (DOLS) estimator of Phillips and ...
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Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
... the cointegrating rank of a VECM when the variables have a deterministic linear time trend of unknown ...the cointegrating rank, the first one allows for a trend not only in the variables but also in the ...
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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
... density estimation for a gen- eral class of functionals of integrated time ...nonparametric cointegrating regres- sion and ...non-linear cointegrating regression involving non-stationary time ...
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