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Author: Roselyne Joyeux
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
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Book Description
Author: Roselyne Joyeux
Publisher:
ISBN: 9781864086492
Category : Cointegration
Languages : en
Pages : 11
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Book Description
Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Book Description
Author: Maxym Chaban
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
Author: Michael McAleer
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
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Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
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Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
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: Poomthan Rangkakulnuwat
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 284
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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: S. Burke
Publisher: Springer
ISBN: 0230005780
Category : Business & Economics
Languages : en
Pages : 253
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Book Description
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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