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Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series

Miller, J. Isaac - Economics Department, University of Missouri - 2011

I analyze efficient estimation of a cointegrating vector when the regressand is observed at a lower frequency than the regressors. Previous authors have examined the effects of specific temporal aggregation or sampling schemes, finding conventionally efficient techniques to be efficient only...

Persistent link: https://www.econbiz.de/10009019136

Conditionally efficient estimation of long-run relationships using mixed-frequency time series

Miller, J. Isaac - In: Econometric reviews 35 (2016) 5/7, pp. 1142-1171

Persistent link: https://www.econbiz.de/10011591156

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10010260704

Multicointegration in US consumption data

Siliverstovs, Boriss - School of Economics and Management, University of Aarhus

Persistent link: https://www.econbiz.de/10005440004

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

Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 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/10011257374

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

Is economic growth sufficient for poverty alleviation? Empirical evidence from Malaysia

Mulok, Dullah; Kogid, Mori; Asid, Rozilee; Lily, Jaratin - In: Cuadernos de Economía - Spanish Journal of Economics … 35 (2012) 97, pp. 26-32

Malaysia’s success story has been highlighted by the remarkable social transformation and poverty reduction accompanying rapid economic growth. Some three decades ago, more than half of the population was poor, the number of illiterates was high, and the average person could only hope to live...

Persistent link: https://www.econbiz.de/10010929569

Multicointegration in US Consumption Data

Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

Persistent link: https://www.econbiz.de/10005018683

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...

Persistent link: https://www.econbiz.de/10005649283

Estimation and Inference in Cointegrated Systems Under Near-Integration.

Sheldon, M. - Department of Economics, University of Birmingham - 1995

Persistent link: https://www.econbiz.de/10005738204