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Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - 2008

characteristics of the filter for signal extraction, trend prediction and cointegration estimation for univariate and bivariate series …

Persistent link: https://www.econbiz.de/10014219324

Bootstrap LR Tests of Stationarity, Common Trends and Cointegration

Busetti, Fabio - 2011

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …

Persistent link: https://www.econbiz.de/10013125622

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269

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

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

Persistent link: https://www.econbiz.de/10010484411

Generic Identifiability for REMIS : The Case of Cointegrated Unit Root VAR

Gersing, Philipp; Sögner, Leopold; Deistler, Manfred - 2022

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...

Persistent link: https://www.econbiz.de/10013293633

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …

Persistent link: https://www.econbiz.de/10014071881

A Simple Approach to Robust Inference in a Cointegrating System

Wright, Jonathan H. - 2003

Cointegration requires all the variables in the system to have exact unit roots; accordingly it is conventional for … researchers to test for a unit root in each variable prior to a cointegration analysis. Unfortunately, these unit root tests are … not powerful. Meanwhile, conventional cointegration methods are not at all robust to slight violations of the requirement …

Persistent link: https://www.econbiz.de/10014154154

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10003919736

Testing Fractional Integration in Time Series with Artificial Neural Network

Furuoka, Fumitaka; Gil-Alana, Luis A.; Yaya, OlaOluwa S.; … - 2022

This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...

Persistent link: https://www.econbiz.de/10014080994