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Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171

Persistent link: https://www.econbiz.de/10010414227

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...

Persistent link: https://www.econbiz.de/10010418272

Testing for fractional cointegration in subsamples by allowing for structural breaks

Kreye, Tom Jannik - 2024

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … addressed here by allowing for a time-dependent memory parameter for the cointegration error. The tests are implemented by …

Persistent link: https://www.econbiz.de/10015175368

Modeling Nigerian government revenues and total expenditure : combined estimators' analysis and error correction model approach

Ayinde, Kayode; Bello, Aliyu A.; Ayinde, Opeyemi E.; … - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011305747

Market efficiency in developed and emerging markets

Sharma, Ankit; Thaker, Keyur - In: Afro-Asian Journal of Finance and Accounting : AAJFA 5 (2015) 4, pp. 311-333

Persistent link: https://www.econbiz.de/10011595609

Are bitcoin prices isolated or co-integrated?

Vyas, Vishal; Mehta, Kiran; Sharma, Renuka - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 5-19

Persistent link: https://www.econbiz.de/10014388694

A covariate residual-based cointegration test applied to the CDS-bond basis

Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192

Persistent link: https://www.econbiz.de/10010225442

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

Productivity convergence and economic growth : a frontier production function approach

Cornwell, Christopher Mark; Wächter, Jens-Uwe - 1999

The empirical growth literature has focused on capital accumulation but largely ignored productivity growth. To address this imbalance, we propose a methodology for analyzing productivity convergence based on frontier production functions. We examine whether departures from the frontier are...

Persistent link: https://www.econbiz.de/10010466016

Functional cointegration : definition and nonparametric estimation

Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 507-520

Persistent link: https://www.econbiz.de/10010461196