Results for the cointegration models
A study of cointegration models with applications
... no cointegration was tested against the alternative of cointegration in the presence of a regime shift on series monthly data from the United States Western Telematic ...The results revealed that ...
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Efficient posterior simulation in cointegration models with priors on the cointegration space
... y t = αβ ′ x t + ε t , (2) where y t = ∆w t , x t = w t − 1 . Although this paper discusses a cointegrated model, (2) makes clear that the ideas are of relevance for any model with such a reduced rank structure. Relative ...
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Efficient posterior simulation in cointegration models with priors on the cointegration space
... y t = αβ 0 x t + ε t , (2) where y t = ∆w t , x t = w t−1 . Although this paper discusses a cointegrated model, (2) makes clear that the ideas are of relevance for any model with such a reduced rank structure. Relative ...
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Estimating Smooth Structural Change in Cointegration Models
... above results are all obtained for the Nadaraya-Watson local level time varying coefficient regression in a cointegrating ...Similar results are shown to apply for local linear time-varying regression which ...
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Bayesian Testing in Cointegration Models using the Jeffreys' Prior
... cointegration model is equal to a conditional posterior of the parameters of the unrestricted error correction model given that the parameter associated with the cointegration restriction equals ...the ...
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Time-varying Cointegration Models and Exchange Rate Predictability in Korea
... Macroeconomic Models with Time-varying Cointegration Coefficients The contradictory results for the PPP and the limited ability of the monetary model in the previous section suggest that the ...
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Cointegration Analysis with State Space Models
... exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of ...processes, cointegration and polynomial cointegration are ...space ...
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Fractional Cointegration and Tests of Present Value Models
... PV models of stock prices is confirmed, but only over a long ...standard cointegration tests is often contradictory, as for instance in the seminal study due to Campbell and Shiller ...our results is ...
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Pair-wise cointegration in long-run growth models
... This paper proposes a novel theoretical and empirical approach to long-run growth analysis, which may help reconcile some of the theoretical disputes and improve the forecasting performance of growth models. ...
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Common cyclical features analysis in VAR models with cointegration.
... 4 Monte Carlo Results In this section we present evidence on the finite sample behavior of the sequential test proce- dures put forward in Section 3.2. One should indeed be careful when interpreting the outcome of ...
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Threshold Cointegration between Stock Returns : An application of STECM Models
... Abstract The aim of this paper is to study the efficient capital market hypothesis by us- ing recent developments in nonlinear econometrics. In such a context, we estimate a Smooth Transition Error Correction Model ...
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Tests of seasonal integration and cointegration in multivariate unobserved component models
... the results of the tests with 6 ' f and D on the trivariate series of French, Italian and Spanish industrial production provide evidence for a single non- stationary component at each frequency except Z* (the ...
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Determining the cointegration rank in heteroskedastic VAR models of unknown order
... simulation results given in this paper with those given in CDRT for the case where the autoregressive lag length is known to the practitioner and, hence, does not need to be estimated from the ...correct ...
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Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space
... Relative to the VAR, Bayesian inference in the ECM is complicated by the fact that = 0 involves a product of parameters. This precludes direct use of analytical or Monte Carlo integration results for the ...
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Permanent-transitory decompositions in VAR models with cointegration and common cycles.
... VAR models with two cointegration and common cyclical features structures recently analyzed by Hecq, Palm and Urbain ...latter models are labelled strong form (SF) and weak form reduced rank ...
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Tests of seasonal integration and cointegration in multivariate unobserved component models
... the results of our tests of seasonal cointegration with the tests based on vector autoregressions, using the complex reduced rank regression approach of Cubadda ...the results with the UC-based tests ...
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Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
... for cointegration for each country separately using Johansen’s maximum likelihood ...VEC models we allow for higher order dynamics and the lag order is selected based on information criteria and white noise ...
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A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
... of cointegration relations also has important consequences for the short- term predictability of asset ...of cointegration relationships generates a number of significant advantages for a trading ...of ...
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MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy
... The other causes also show the expected sign in the short run estimation. That is, high tax and social security contribution burdens and a high intensity of regulation force people into the shadow economy. Declining ...
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MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy
... The other causes also show the expected sign in the short run estimation. That is, high tax and social security contribution burdens and a high intensity of regulation force people into the shadow economy. Declining ...
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