Similar Search Results

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and...

Persistent link: https://www.econbiz.de/10011499608

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified...

Persistent link: https://www.econbiz.de/10011554319

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...

Persistent link: https://www.econbiz.de/10009767620

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

Chapter 6 Forecasting with VARMA Models

Lütkepohl, Helmut - 2006

parameterizations based on the echelon form are presented. Model specification, estimation, model checking and forecasting are discussed …

Persistent link: https://www.econbiz.de/10014023700

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

nonstationary or near nonstationary predictors. Unconditionally, the contribution of parameter estimation error to expected loss is … long run. Estimation of parameters for most models dominates imposing a unit root. It is for these models that the effects …

Persistent link: https://www.econbiz.de/10014023695

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the...

Persistent link: https://www.econbiz.de/10011579472

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

Persistent link: https://www.econbiz.de/10010356541