Similar Search Results

Is Double Trouble? – How to Combine Cointegration Tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

Persistent link: https://www.econbiz.de/10010264719

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10010260704

Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques

Belke, Ansgar; Czudaj, Robert - 2010

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

Persistent link: https://www.econbiz.de/10010269994

Is euro area money demand (still) stable? Cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

Persistent link: https://www.econbiz.de/10010271383

Is euro area demand (still) stable? Cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

Persistent link: https://www.econbiz.de/10010327317

Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary Economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010436018

Testing for Structural Breaks

Gregory, Allan W.; Nason, James M. - 1991

to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

Persistent link: https://www.econbiz.de/10011940489

residual-Based Tests for Cointegration in Models with Regime Shifts

w. Gregory, Allan; Hansen, Bruce E. - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10011940524

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

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 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/10011755326

Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study

Eriksson, Åsa - 2004

In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The … cointegration vector, but the Johansen (1991) test fares slightly better than the Kwiatkowski et al (1992) test. Applying a Bartlett …

Persistent link: https://www.econbiz.de/10013208469