Testing for Cointegration with Threshold Adjustment in the Presence of Structural Breaks PDF Download
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Author: Karsten Schweikert
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Category :
Languages : en
Pages :
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Author: Karsten Schweikert
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ISBN:
Category :
Languages : en
Pages :
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Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Author: Berhan Coban
Publisher:
ISBN: 9783659825668
Category :
Languages : en
Pages : 76
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Author: Walter Enders
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two variants are considered: a simple threshold autoregressive (TAR) model, where the positive and negative disequilibria are the error corrections, and the momentum threshold autoregressive model (M-TAR),where positive and negative changes in the disequilibria are the error corrections. The M-TAR model, in particular, has good power over the Engle-Granger test. We also consider an application where we test for cointegration between long and short US interest rates. Conventional cointegration testing (i.e., Engle-Granger, Johansen) concludes that interest rates are not cointegrated while we do find cointegration in the presence of asymmetric adjustment. We provide an economic rationale for such a finding.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
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Category :
Languages : en
Pages :
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Author: Daniel Charles Harper
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Category : Econometrics
Languages : en
Pages : 180
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Author: Biyong Xu
Publisher:
ISBN:
Category :
Languages : en
Pages : 184
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According to the Fisher hypothesis, the nominal interest rate moves one-to-one with the rate of inflation anticipated by the public, and the expected real rate of return is constant over time. The hypothesis implies that in the long run there is a one-to-one correspondence between changes of the nominal interest rate and the changes of inflation, which is often referred to as the Fisher effect in the literature. To test the Fisher hypothesis, most of the previous empirical studies are using linear models in time series, which was predicated on the assumption that the path of adjustment towards long-run equilibrium is necessarily symmetric. The assumption of symmetric adjustment, however, may not be warranted. It is frequently argued that that some fundamental economic variables, including the real GNP and the unemployment rate, display asymmetric adjustment paths, which cannot be properly modeled by linear models. Since the real interest rate is closely related to these variables, it may also follow an asymmetric adjustment path. In this dissertation, we study the Fisher relationship within a fresh nonlinear framework. The dissertation is filling several blanks in the empirical literature. First, we test the stationarity of the nominal interest rate and the inflation rate under a nonlinear threshold autoregressive model, and it seems a unit root can not be rejected for most of countries under our study. Second, a two-stage threshold cointegration analysis has been applied to test for the presence of nonlinearity in the long-term equilibrium between the nominal interest rate and the inflation rate. We find some evidences nonlinearity in the Fisher relationship. Third, a two-regime threshold vector error correction model (TVECM) is used to explicitly model the nonlinearity and encompassing tests are carried out to compare the out-of-sample forecast efficiency of linear and nonlinear models. Our study seems to support the existence of the Fisher effect in the long run, which is consistent with previous studies.
Author: Josep Lluís Carrion-i-Silvestre
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Author: Massimo Guidolin
Publisher: Academic Press
ISBN: 0128134100
Category : Business & Economics
Languages : en
Pages : 435
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Book Description
Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)
