Author: Pierre Perron
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 46
Book Description
Residual Based Tests for Cointegration with GLS Detrended Data
Author: Pierre Perron
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 46
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 46
Book Description
A Residual-based Cointegration Test for Near Unit Root Variables
Author: Erik Hjalmarsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 40
Book Description
Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni method is used to address the uncertainty regarding the exact degree of persistence in the process. We thus provide a method for valid inference in multivariate near unit root processes where standard cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results. Empirical illustrations are given by: (i) a re-examination of the Fisher hypothesis, and (ii) a test of the validity of the cointegrating relationship between aggregate consumption, asset holdings, and labor income, which has attracted a great deal of attention in the recent finance literature.
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 40
Book Description
Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni method is used to address the uncertainty regarding the exact degree of persistence in the process. We thus provide a method for valid inference in multivariate near unit root processes where standard cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results. Empirical illustrations are given by: (i) a re-examination of the Fisher hypothesis, and (ii) a test of the validity of the cointegrating relationship between aggregate consumption, asset holdings, and labor income, which has attracted a great deal of attention in the recent finance literature.
The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated
Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The Power of Residual-based Tests for Cointegration when Residuals are Fractionally Integrated
Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
The-power of residual-based tests for cointegration when residuals are fractionally integrated
Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : es
Pages : 17
Book Description
Publisher:
ISBN:
Category :
Languages : es
Pages : 17
Book Description
Residual Based Tests for Cointegration
Author: Alfred A. Haug
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
Book Description
Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable
Author: Chihwa Kao
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. We show that the LSDV estimatoris consistent for its true value, but the t- statistic diverges so that inferences about the regression coefficient, are wrong with the probability that goes to one. The asymptotics of LSDV are also different from those of the spurious regression in the pure time series. This has an important consequence for residual-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic distributions of the tests a re derived and Monte Carlo experiments are conducted to evaluate finite sample properties of the proposed tests.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. We show that the LSDV estimatoris consistent for its true value, but the t- statistic diverges so that inferences about the regression coefficient, are wrong with the probability that goes to one. The asymptotics of LSDV are also different from those of the spurious regression in the pure time series. This has an important consequence for residual-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic distributions of the tests a re derived and Monte Carlo experiments are conducted to evaluate finite sample properties of the proposed tests.
Spurious Regressions and Residual-based Tests for Cointegration when Regressors are Cointegrated
Author: In Choi
Publisher:
ISBN:
Category : Regression analysis
Languages : en
Pages : 22
Book Description
Publisher:
ISBN:
Category : Regression analysis
Languages : en
Pages : 22
Book Description
The Power of Residual-based Cointegration Tests, and the Dynamics of Female Fertility, Education, and Labor Supply
Author: Ya-Hue Lee
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 260
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 260
Book Description
Residual-based Tests for Cointegration in Models with Regime Shifts
Author: Allan W. Gregory
Publisher: Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 27
Book Description
Publisher: Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 27
Book Description