Tests for Cointegration with Structural Breaks Based on Subsamples PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Tests for Cointegration with Structural Breaks Based on Subsamples PDF full book. Access full book title Tests for Cointegration with Structural Breaks Based on Subsamples by . Download full books in PDF and EPUB format.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
Get Book Here
Book Description
Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.
Author: Paramsothy Silvapulle
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 30
Get Book Here
Book Description
Author: Berhan Coban
Publisher:
ISBN: 9783659825668
Category :
Languages : en
Pages : 76
Get Book Here
Book Description
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Get Book Here
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Josep Lluís Carrion-i-Silvestre
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
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: Roselyne Joyeux
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
Get Book Here
Book Description
