Author: Mark W. Watson
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Many economic models imply that ratios, simple differences, or spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the cointegrating vectors are known under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model (VECM) and are motivated as Wald tests in the version of this Gaussian model. When all of the cointegrating vectors are known under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contains unknown parameters. The asymptotic null distribution of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of forward-spot premium
Testing for Cointegration When Some of the Contributing Vectors are Known
Author: Mark W. Watson
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Many economic models imply that ratios, simple differences, or spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the cointegrating vectors are known under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model (VECM) and are motivated as Wald tests in the version of this Gaussian model. When all of the cointegrating vectors are known under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contains unknown parameters. The asymptotic null distribution of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of forward-spot premium
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Many economic models imply that ratios, simple differences, or spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the cointegrating vectors are known under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model (VECM) and are motivated as Wald tests in the version of this Gaussian model. When all of the cointegrating vectors are known under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contains unknown parameters. The asymptotic null distribution of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of forward-spot premium
Testing for Cointegration when Some of the Cointegrating Vectors are Known
Author: Michael T. K. Horvath
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 56
Book Description
Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
Author: Erik Hjalmarsson
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
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.
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
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.
On Some Simple Tests for Cointegration
Author: Anindya Banerjee
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 56
Book Description
Workbook on Cointegration
Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
ISBN: 9780198776086
Category : Business & Economics
Languages : en
Pages : 178
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Publisher: Oxford University Press, USA
ISBN: 9780198776086
Category : Business & Economics
Languages : en
Pages : 178
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
TESTING FOR CINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE KNOWN
Author: Michael T.K. HORVATH
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Power of Cointegration Tests
Author: Jeroen J. M. Kremers
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 44
Book Description
Multivariate Tests for Time Series Models
Author: Jeff B. Cromwell
Publisher: SAGE
ISBN: 9780803954403
Category : Social sciences
Languages : en
Pages : 116
Book Description
Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests.
Publisher: SAGE
ISBN: 9780803954403
Category : Social sciences
Languages : en
Pages : 116
Book Description
Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests.
An Introduction to Bartlett Correction and Bias Reduction
Author: Gauss M. Cordeiro
Publisher: Springer Science & Business Media
ISBN: 3642552552
Category : Mathematics
Languages : en
Pages : 113
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.
Publisher: Springer Science & Business Media
ISBN: 3642552552
Category : Mathematics
Languages : en
Pages : 113
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.
Cointegration
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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.
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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.