Narrow search
Showing 1 - 10 of 4,273
Cover Image
Semiparametric independence tests between two infinite-order cointegrated series
Bouhaddioui, Chafik; Dufour, Jean-Marie; Takano, Masaya - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 263-294). 2023
Persistent link: https://www.econbiz.de/10014313737
Cover Image
Identification and estimation of structural VARMA models using higher order dynamics
Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 819-832
Persistent link: https://www.econbiz.de/10014448441
Cover Image
Redefining the nexus of military spending among Southeast Mediterranean countries in the presence of nonlinearities
Palaios, Panagiotis; Papapetrou, Evangelia - In: Defence and peace economics 35 (2024) 7, pp. 865-882
Persistent link: https://www.econbiz.de/10015182013
Cover Image
Semiparametric Innovation-Based Tests of Orthogonality and Causality between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions
Bouhaddioui, Chafik - 2011
We propose a semi-parametric approach for testing orthogonality and causality between two infinite-order co-integrated vector auto-regressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...
Persistent link: https://www.econbiz.de/10013128858
Cover Image
Revisiting the interest rate-investment nexus in India : fresh perspective from non-parametric analysis
Bindra, Riya; Pandey, Amrendra; Misra, Pooja; … - 2025
Persistent link: https://www.econbiz.de/10015396401
Cover Image
Dynamic Relationship between CSI 300 Futures and Shanghai Composite Index : Analysis of Cointegration, Parametric and Nonparametric Granger Causality
Siyu, Peng - 2014
market exhibit a long-run equilibrium by applying Jonhenson Cointegration test, suggesting that at least one of the markets …
Persistent link: https://www.econbiz.de/10013044004
Cover Image
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
Cover Image
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
Demetrescu, Matei; Kusin, Vladimir; Salish, Nazarii - In: Economic modelling 108 (2022), pp. 1-32
Persistent link: https://www.econbiz.de/10013347934
Cover Image
Nonparametric test for causality with long-range dependence
Hidalgo, Javier - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1465-1490
Persistent link: https://www.econbiz.de/10001527512
Cover Image
Nonparametric test for causality with long-range dependence
Hidalgo, Javier - 2000
Persistent link: https://www.econbiz.de/10001551037