Similar Search Results

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Bayesian analysis of coefficient instability in dynamic regressions

Ciapanna, Emanuela; Taboga, Marco - In: Econometrics : open access journal 7 (2019) 3/29, pp. 1-32

This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...

Persistent link: https://www.econbiz.de/10012161539

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

Persistent link: https://www.econbiz.de/10012025646

A jackknife correction to a test for cointegration rank

Chambers, Marcus J. - In: Econometrics : open access journal 3 (2015) 2, pp. 355-375

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

Persistent link: https://www.econbiz.de/10011297630

Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …

Persistent link: https://www.econbiz.de/10011650498

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

Persistent link: https://www.econbiz.de/10012160757

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011297654

Panel cointegration testing in the presence of linear time trends

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Econometrics : open access journal 4 (2016) 4, pp. 1-16

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under …

Persistent link: https://www.econbiz.de/10011650477

Monitoring cointegrating polynomial regressions : theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - In: Econometrics : open access journal 9 (2021) 1, pp. 1-35

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...

Persistent link: https://www.econbiz.de/10012503985