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Author: Cheol-Keun Cho
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use residuals from integrated and modified ordinary least squares estimations.The test statistic, denoted by KPSS^Fb is shown to provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a pivotal null limitdistribution under fixed-b asymptotics. This study further analyzes the performance of thistest when the Andrews' AR(1) plug-in data-dependent bandwidth is employed. The estimatedAR(1) coefficient for the IMOLS residual is shown to not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation experimentsevaluate the performance of the test with various bandwidth rules being used, characterizingthe advantages and limitations of the test. To provide a partial remedy to some limitationsof the test, some modified IMOLS residuals are considered to obtain alternative data-drivenbandwidths.
Author: Cheol-Keun Cho
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use residuals from integrated and modified ordinary least squares estimations.The test statistic, denoted by KPSS^Fb is shown to provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a pivotal null limitdistribution under fixed-b asymptotics. This study further analyzes the performance of thistest when the Andrews' AR(1) plug-in data-dependent bandwidth is employed. The estimatedAR(1) coefficient for the IMOLS residual is shown to not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation experimentsevaluate the performance of the test with various bandwidth rules being used, characterizingthe advantages and limitations of the test. To provide a partial remedy to some limitationsof the test, some modified IMOLS residuals are considered to obtain alternative data-drivenbandwidths.
Author: Zhijie Xiao
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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We show that the conventional CUSUM test for structural change can be applied to cointegrating regression residuals leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modified residuals to correct for endogeneity and serial correlation and to scale out nuisance parameters. The limit distribution of the test is derived under both the null and the alternative hypothesis. The tests are easy to use and are found to perform quite well in a Monte Carlo experiment.
Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Author: Elena Pesavento
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This article studies the asymptotic distribution of five residuals-based tests for the null of no-cointegration under a local alternative when the tests are computed using both ordinary least squares (OLS) and generalized least squares (GLS)-detrended variables. The local asymptotic power of the tests is shown to be a function of Brownian motion and Ornstein-Uhlenbeck processes, depending on a single nuisance parameter, which is determined by the correlation at frequency zero of the errors of the cointegration regression with the shocks to the right-hand side variables. The tests are compared in terms of power in large and small samples. It is shown that, while no significant improvement can be achieved by using unit root tests other than the OLS detrended t-test originally proposed by Engle and Granger (1987), the power of GLS residuals tests can be higher than the power of system tests for some values of the nuisance parameter.
Author: Fabio Busetti
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 52
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Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Pierre Perron
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 46
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Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : es
Pages : 17
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Author: Walter Krämer
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
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.
