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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

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben - 2020

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

Persistent link: https://www.econbiz.de/10012831312

Testing the Permanent Income Hypothesis Using Unit Root Quantile Autoregression Tests

Gomes, Fábio A. - 2010

In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...

Persistent link: https://www.econbiz.de/10013136961

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Phillips, Peter C. B. - 2012

A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has...

Persistent link: https://www.econbiz.de/10013100421

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

Marinucci, Domenico - 2008

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are investigated, while OLS are inconsistent due to correlation between the regressor...

Persistent link: https://www.econbiz.de/10012771073

Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

Persistent link: https://www.econbiz.de/10014203187

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10011300555

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regressions

Veldhuis, Sebastian; Wagner, Martin - 2024

We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be...

Persistent link: https://www.econbiz.de/10014529360

Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions

Vogelsang, Timothy J.; Wagner, Martin - 2024

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...

Persistent link: https://www.econbiz.de/10014519282

Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?

Lin, Yicong; Reuvers, Hanno - 2022

The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...

Persistent link: https://www.econbiz.de/10013463979