Testing for Cointegration
Testing for Cointegration with Nonstationary Volatility
... for Cointegration with Nonstationary Volatility ...conventional cointegration tests, and possibilities of increased power by taking the time-varying volatilities and correlations into ...The testing ...
30
A Monte Carlo comparison of Bayesian testing for cointegration rank
... Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan ...
7
Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions
... macroeconomics whilst the very good results of the Boswijk Wald test in a number of Monte Carlo studies recommend it. Other tests that have been shown to have good properties in some aspects, such as the tests proposed ...
32
DIAGNOSTIC TESTING FOR COINTEGRATION. P.M. Robinson
... no cointegration achieves an efficiency improvement over estimates based on individual series, whereas if the series are cointegrated the former estimate is generally ...
41
Testing for cointegration rank using Bayes factors
... In this section, we illustrate an example of cointegration analysis using the method that is presented in previous sections. The focus is to show the usefulness of our method with a relatively small sample size ...
17
Testing for cointegration using induced-order statistics.
... Escribano ( 1986 , 2004 ) analyzed error correction models in nonlinear contexts where the cointegration relationship is linear or nonlinear and the equilibrium correction term could als[r] ...
21
Testing for cointegration with threshold adjustment in the presence of structural breaks
... linear cointegration in the sense of Engle and Granger ( 1987 ) as a special ...threshold cointegration models are suitable to study these cases, they do not account for possible structural change in the ...
57
Testing for cointegration in dependent panels via residual based bootstrap methods
... 3.2 Results The results are reported in tables 1-8 below. First of all, from the aggregate tests we can see that the cointegration RSB tests with the two di¤erent block sizes deliver essentially the same results. ...
20
Testing for cointegration in dependent panels via residual-based bootstrap methods
... of testing procedures, provided the possible linkages across units are properly accounted ...no cointegration, while Westerlund and Edgerton (2007) develop a sieve bootstrap procedure for testing the ...
20
Panel Cointegration Testing in the Presence of a Time Trend
... panel cointegration tests which allow for a deterministic linear trend in the data generating ...panel cointegration tests can be extended to the case with deterministic terms, but they did not deliver any ...
32
Testing for panel cointegration using common correlated effects estimators
... techniques. Testing for cointegration in panel data has been a particular area of focus, since it constitutes the analysis that needs to be conducted prior to estimating long-run ...
51
Cointegration between Investment and Saving in Selected Asian Countries: ARDL Bounds Testing Procedure
... bounds testing for cointegration, the results do not support a positive correlation between savings and investment in Indonesia, the Philippines and ...
9
Estimation and Testing for Fractional Cointegration
... fractional cointegration model for a wide range of the integration order of residuals, in the case where the integration order of regressors is known and equal to ...fractional cointegration (that is, δ − d ...
31
Cointegration testing in dependent panels with breaks
... panel cointegration test shown by Di Iorio and Fachin (2010) to be asymptotically ...new testing procedure can account for fully general forms of dependence and delivers satisfactory small sample size and ...
24
Testing the Null of Cointegration with Structural Breaks
... Using this speci…cation we have analysed the …nite sample performance of our proposal in two stages. First, we focus on the situation that the break point is assumed to be known. Second, we address the estimation of the ...
28
Testing for unit roots and cointegration in heterogeneous panels
... Table 4.35 The empirical power of the endogenous break max-I tt5 I panel LM unit root test using.. adjustment parameters from the endogenous-break test without shifts 177.[r] ...
282
Panel Cointegration Testing in the Presence of Common Factors
... Keywords: panel cointegration testing, common factors. ∗ Corresponding author: Jean-Pierre Urbain, Department of Quantitative Economics Universiteit Maas- tricht, P.O. Box 616, 6200 MD Maastricht, The ...
40
"Testing for the Null Hypothesis of Cointegration with Structural Breaks"
... In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its ...
41
Testing for Stationarity and Cointegration in an Unobserved Components Framework
... representing the stochastic trend, and a transitory component, representing the stationary component of the series. The purpose of this paper is to suggest a new way to test for both stationarity and cointegration ...
21
Testing of Fractional Cointegration in Macroeconomic Time Series
... estimate of the cointegrating parameter was consistent and converged in probability at the rate T 1- d for any d > 0. Cheung and Lai (1993), Robinson and Marinucci (1998) and others extended the analysis to the ...
21