Author: Roselyne Joyeux
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
Book Description
How to Deal with Structural Breaks in Practical Cointegration Analysis
Author: Roselyne Joyeux
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
Book Description
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
Book Description
Cointegration Tests in the Presence of Structural Breaks
Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
Book Description
Cointegration Analysis with Structural Breaks and Deterministic Trends
Author: Maxym Chaban
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
Practical Issues in Cointegration Analysis
Author: Michael McAleer
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Unit Roots and Structural Breaks
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Unit Roots, Cointegration, and Structural Change
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Three Essays in Application of Cointegration Analysis with Exogenous Variables and Structural Breaks
Author: Poomthan Rangkakulnuwat
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 284
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 284
Book Description
Testing the Null of Cointegration with Structural Breaks
Author: Josep LluĂs Carrion-i-Silvestre
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Modelling Non-Stationary Economic Time Series
Author: S. Burke
Publisher: Springer
ISBN: 0230005780
Category : Business & Economics
Languages : en
Pages : 253
Book Description
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Publisher: Springer
ISBN: 0230005780
Category : Business & Economics
Languages : en
Pages : 253
Book Description
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Tests for Cointegration with Structural Breaks Based on Subsamples
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description