Residuals Bases Tests for the Null of No Cointegration 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 Residuals Bases Tests for the Null of No Cointegration PDF full book. Access full book title Residuals Bases Tests for the Null of No Cointegration by . Download full books in PDF and EPUB format.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Elena Pesavento
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
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: Cheol-Keun Cho
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
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: 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: Ramesh Chandra Das
Publisher: Emerald Group Publishing
ISBN: 1803826118
Category : Business & Economics
Languages : en
Pages : 260
Get Book Here
Book Description
Growth and Developmental Aspects of Credit Allocation: An Inquiry for Leading Countries and the Indian States focuses on bank credit and deposit within a variety of economies and specifically examines Indian states to demonstrate how these two financial components are linked to their income growths and levels of development.
Author: Imad A. Moosa
Publisher: Edward Elgar Publishing
ISBN: 1785369954
Category : Business & Economics
Languages : en
Pages : 253
Get Book Here
Book Description
Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.
Author: Hasan Dincer
Publisher: Springer Nature
ISBN: 3030722880
Category : Business & Economics
Languages : en
Pages : 406
Get Book Here
Book Description
Competition is present for almost every sector nowadays. Therefore, it is vital for companies to develop a set of strategies in order to survive in the competitive environment of a globalized world. This book discusses how and why not every strategy is appropriate for every sector. The volume offers a qualified and comprehensive analysis to determine effective competitive strategies taking into account the many different factors that affect company performance.
Author: Gabriel Rodriguez
Publisher:
ISBN:
Category :
Languages : en
Pages : 77
Get Book Here
Book Description
Author: Massimo Guidolin
Publisher: Academic Press
ISBN: 0128134100
Category : Business & Economics
Languages : en
Pages : 435
Get Book Here
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)
Author: Mr.Shaun K. Roache
Publisher: International Monetary Fund
ISBN: 1455208876
Category : Business & Economics
Languages : en
Pages : 37
Get Book Here
Book Description
How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interest rates, which means that such shocks lead to an adjustment back towards a stable equilibrium. We find evidence that the adjustment is somewhat consistent with well-known theoretical models, such as Pindyck (2001); in other words, spot prices rise and then fall, while inventories are used to absorb the shock. Importantly, the pace and nature of the adjustment depends upon whether inventories were initially high or low, which introduces significant nonlinearities into the adjustment process.
