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On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

Persistent link: https://www.econbiz.de/10009620772

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …

Persistent link: https://www.econbiz.de/10009578029

Cai, Zongwu (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919034

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...

Persistent link: https://www.econbiz.de/10009578552

Unit root tests for time series with a structural break : when the break point is known

Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Persistent link: https://www.econbiz.de/10009580481

Testing for unit roots in time series with level shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Persistent link: https://www.econbiz.de/10009580487

A simple variable selection technique for nonlinear models

Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf - 1999

Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is computationally much less demanding and performs well in comparison with...

Persistent link: https://www.econbiz.de/10009580488

Testing for a unit root in a time series with a level shift at unknown time

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the...

Persistent link: https://www.econbiz.de/10009581100

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382