Small Sample Properties of Certain Cointegration Test Statistics PDF Download
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Author: Phoebus James Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
Author: Phoebus James Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
Author: Phoebus J. Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper reports on the results of a Monte Carlo study. The latter investigates the performance of various versions of the Conformity test CCT$ for the existence and rank of cointegration, as given in Dhrymes (1996b), the likelihood ratio test LRT as given in Johansen (J) (1988), (1991), and the stochastic trends test (SW), as given in Stock and Watson (1988). The design of the experiments allows for small, medium and large stationary roots, and one, two, and three unit roots. The largest system investigated is a quadrivariate VAR(4). Results based on the underlying normal theory indicate that the performance of the CCT is extremely good when the null hypothesis involves the sum of, or individual, (characteristic) roots, some of which are not zero; it does not perform reliably when the sum of the roots under the null involves, in truth,all zero roots. Results based on non-standard asymptotic theory for estimators of zero roots indicate that the CCT has very good power characteristics in detecting the rank of cointegration, but it exhibits some size distortions that can potentially lead to overestimation of the true cointegrating rank. On the other hand, both versions are robust to non normal and dependent error structures. Such results generally hold for sample sizes 100 and 500. For samples of size 100, the LR test performs quite well, in terms of size, when the error process is Gaussian and when small and medium stationary roots are employed in the experimental design, but performs rather poorly in terms of power. The problem is magnified with large stationary roots, and/or non-normal errors. The results improve, as expected, for sample size 500. The SW test performs rather poorly overall, and cannot be recommended for use in empirical applications.
Author: Tor Jacobson
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
Author: Gauss M. Cordeiro
Publisher: Springer Science & Business Media
ISBN: 3642552552
Category : Mathematics
Languages : en
Pages : 113
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Book Description
This book presents a concise introduction to Bartlett and Bartlett-type corrections of statistical tests and bias correction of point estimators. The underlying idea behind both groups of corrections is to obtain higher accuracy in small samples. While the main focus is on corrections that can be analytically derived, the authors also present alternative strategies for improving estimators and tests based on bootstrap, a data resampling technique and discuss concrete applications to several important statistical models.
Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Author: Mika Karjalainen
Publisher:
ISBN: 9789516506596
Category :
Languages : en
Pages : 39
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Book Description
Author: M. Hashem Pesaran
Publisher: Oxford University Press
ISBN: 0198736916
Category : Business & Economics
Languages : en
Pages : 1095
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Book Description
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Book Description
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
