Spurious Regression, Cointegration, and Near Cointegration PDF Download
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Author: Niels Haldrup
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Niels Haldrup
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: In Choi
Publisher:
ISBN:
Category : Regression analysis
Languages : en
Pages : 22
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Author: Chihwa Kao
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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: Jean-Pierre Urbain
Publisher:
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Category :
Languages : en
Pages : 7
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Category :
Languages : en
Pages :
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Author: Erik Hjalmarsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 40
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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.
Author: Richard I. D. Harris
Publisher: Prentice Hall
ISBN: 9780133558920
Category : Business & Economics
Languages : en
Pages : 176
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Book Description
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
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: Erik Hjalmarsson
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
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.
