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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...
Persistent link: https://www.econbiz.de/10010837984
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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005
periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …
Persistent link: https://www.econbiz.de/10010851169
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A wavelet approach to multiple cointegration testing
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …
Persistent link: https://www.econbiz.de/10011004134
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A Test for the Null of Multiple Cointegrating Vectors
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables.  Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …
Persistent link: https://www.econbiz.de/10011004208
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Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures
Miller, J. Isaac - Economics Department, University of Missouri - 2012
Parsimoniously specified distributed lag models have enjoyed a resurgence under the MiDaS moniker (Mixed Data Sampling) as a feasible way to model time series observed at very different sampling frequencies. I introduce cointegrating mixed data sampling (CoMiDaS) regressions. I derive asymptotic...
Persistent link: https://www.econbiz.de/10011076208
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Time-varying Long-run Income and Output Elasticities of Electricity Demand
Miller, J. Isaac; Chang, Yoosoon; Kim, Chang Sik; Park, … - Economics Department, University of Missouri - 2014
It is widely accepted that long-run elasticities of demand for electricity are not stable over time. We model long …
Persistent link: https://www.econbiz.de/10011076209
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Unit Root Tests, Size Distortions, and Cointegrated Data
Reed, W. Robert - Department of Economics and Finance, College of … - 2014
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests – the ADF, Phillips-Perron, and DF-GLS tests – frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011099467
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Flattening of the Phillips Curve: Estimations and consequences for economic policy
Kromphardt, Jürgen; Logeay, Camille - In: European Journal of Economics and Economic Policies: … 8 (2011) 1, pp. 43-67
We test the hypothesis that the long-term Phillips curve is downward sloping and has become flatter in the last 10 to 15 years. Controlling for the most important other factors influencing the inflation rate, we estimate cointegrations and test whether a "break" in the Phillips curve can be...
Persistent link: https://www.econbiz.de/10011133384
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It’s not yen, euro or koala bloc: Greenback is still dominant in East Asia
Rajaguru, Gulasekaran; Khalid, Ahmed M; Barbera, Francesco - In: Australian Journal of Management 39 (2014) 4, pp. 549-571
Given the nature of East Asia’s economic structure, interregional exchange rate stability is an essential requirement for regional economic integration. One way to achieve exchange rate stability is for the region to adopt an anchor currency. However, the choice of a potential anchor is...
Persistent link: https://www.econbiz.de/10011135770
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Testing for Cointegration in the Presence of Moving Average Errors
Mallory, M.; Lence, Sergio H. - Department of Economics, Iowa State University - 2012
 This study explores performance of the Johansen cointegration statistics on data containingnegative moving average … recommended before using standard asymptoticcritical values for Johansen’s cointegration tests …
Persistent link: https://www.econbiz.de/10011143813