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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

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

Are US real house prices stationary? : new evidence from univariate and panel data

Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011431067

Co-movements of the Indian stock market

Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59

Persistent link: https://www.econbiz.de/10011398114

Estimating the long-run determinant of the efficiency of the stock market in India

Singh, Amit Kumar; Nainwal, Neha - In: Asia-Pacific journal of management research and … 13 (2017) 1/2, pp. 70-80

Persistent link: https://www.econbiz.de/10011884894

Money-multiplier shocks

Benati, Luca; Ireland, Peter N. - 2017

Persistent link: https://www.econbiz.de/10011712889