Search Results - subject:"cointegrating regression"

An empirical analysis of aggregate import demand function for India

Mishra, Bibhuti Ranjan; Mohanty, Asit - In: Global economy journal : GEJ 17 (2017) 4, pp. 1-12

Persistent link: https://www.econbiz.de/10011799121

Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series

Miller, J. Isaac - Economics Department, University of Missouri - 2011

full-information high-frequency data-generating process. I modify a conventional estimator, canonical cointegrating … regression (CCR), to accommodate cases in which the aggregation weights are either unknown or known. In the unknown case, the …

Persistent link: https://www.econbiz.de/10009019136

Conditionally efficient estimation of long-run relationships using mixed-frequency time series

Miller, J. Isaac - In: Econometric reviews 35 (2016) 5/7, pp. 1142-1171

Persistent link: https://www.econbiz.de/10011591156

ICT, CO2 emissions and economic growth : evidence from a panel of ASEAN

Lee, Jung Wan; Brahmasrene, Tantatape - In: Global economic review 43 (2014) 2, pp. 93-109

Persistent link: https://www.econbiz.de/10010509767

Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error

Miller, J. Isaac - Economics Department, University of Missouri - 2007

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data …. Existing prototypical variancebased estimation techniques, such as canonical cointegrating regression (CCR), are both …

Persistent link: https://www.econbiz.de/10004992675

A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach

Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of International Financial Markets, … 25 (2013) C, pp. 106-118

not in long-run level. However, they use, for testing the long-run relationship, standard linear cointegrating regression … the long-run relationship adopting a more advanced econometric model, the structural nonparametric cointegrating … regression. The results exhibit a causal relationship from stock prices to exchange rates that is long-run in EU and short-run in …

Persistent link: https://www.econbiz.de/10010665651

Stationary bootstrapping for cointegrating regressions

Shin, Dong Wan; Hwang, Eunju - In: Statistics & Probability Letters 83 (2013) 2, pp. 474-480

The validity of stationary bootstrapping is investigated for cointegrating regressions in large samples as well as in finite samples. The bootstrap ordinary least squares estimator (OLSE) is shown to be valid in large samples having the same limiting distribution as the OLSE under a similar...

Persistent link: https://www.econbiz.de/10010602907

A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach

Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118

Persistent link: https://www.econbiz.de/10009762800

Estimating the import demand function for China

Wang, Yi-Hsien; Lee, Jun-De - In: Economic Modelling 29 (2012) 6, pp. 2591-2596

This paper estimates the import demand elasticity for China using three fully efficient cointegrating regressions and the autoregressive distributed lag (ARDL) method. This paper is the first to accommodate the perception of global risk in an investigation of the information transmission...

Persistent link: https://www.econbiz.de/10010588217

Partial parametric estimation for nonstationary nonlinear regressions

Kim, Chang Sik; Kim, In-Moo - In: Journal of Econometrics 167 (2012) 2, pp. 448-457

This paper proposes an estimation method for a partial parametric model with multiple integrated time series. Our estimation procedure is based on the decomposition of the nonparametric part of the regression function into homogeneous and integrable components. It consists of two steps: In the...

Persistent link: https://www.econbiz.de/10010574087