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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.
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.
Author: In Choi
Publisher:
ISBN:
Category : Regression analysis
Languages : en
Pages : 22
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Author: Niels Haldrup
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Chihwa Kao
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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.
Author: Erik Hjalmarsson
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
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We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. The spurious rejection rate can be reduced by performing additional tests of restrictions on the cointegrating vector(s), although it is still substantially larger than the nominal size.
Author: Jean-Pierre Urbain
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Author: Raymond John O'Brien
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 45
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Author: Lonnie Stevans
Publisher:
ISBN: 9781481271226
Category :
Languages : en
Pages : 44
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Book Description
The econometric literature on unit roots took off after the publication of the paper by Nelson and Plosser (1982) that argued that most macroeconomic series have unit roots and that this is important for the analysis of macroeconomic policy.Yule (1926) suggested that regressions based on trending time series data can be spurious. This problem of spurious correlation was further pursued by Granger and Newbold (1974) and this also led to the development of the concept of cointegration (lack of cointegration implies spurious regression). The pathbreaking paper by Granger (1981), first presented at a conference at the University of Florida in 1980, did not "catch fire" until about five years later, and now the literature on cointegration has exploded. As for historical antecedents, Hendry and Morgan (1989) argue that Frisch's concept of multicollinearity in 1934 can be viewed as a forerunner of the modern concept of cointegration.The recent developments on unit roots and cointegration have changed the way time series analysis is conducted. The publication of the book by Box and Jenkins (1970) changed the methods of time series analysis, but the recent developments have formalized and made systematic the ad hoc methods in Box and Jenkins. In addition, the asymptotic theory for these models has just recently been developed.
Author: Raymond John O'Brien
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 48
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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