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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005
periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …
Persistent link: https://www.econbiz.de/10010851169
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014
(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …
Persistent link: https://www.econbiz.de/10010940883
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A Regime Switching Long Memory Model for Electricity Prices
Haldrup, Niels; Nielsen, Morten O. - School of Economics and Management, University of Aarhus - 2004
this means that in some regimes, an extreme form of fractional cointegration amongst prices will exist. We define a Markov …
Persistent link: https://www.econbiz.de/10005787517
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A Gaussian IV estimator of cointegrating relations
Bårdsen, Gunnar; Haldrup, Niels - School of Economics and Management, University of Aarhus - 2006
In static single equation cointegration regression models the OLS estimator will have a non-standard distribution …
Persistent link: https://www.econbiz.de/10005439926
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Multicointegration in US consumption data
Siliverstovs, Boriss - School of Economics and Management, University of Aarhus
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/10005440004
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Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Haldrup; Niels; Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus - 2005
fractional cointegration at some grid points when conditioning on the states. …
Persistent link: https://www.econbiz.de/10005114085
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Unbalanced Regressions and the Predictive Equation
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - School of Economics and Management, University of Aarhus - 2015
Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviate the problem of unbalancedness in the...
Persistent link: https://www.econbiz.de/10011158460
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Estimation of long memory in integrated variance
Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2011
A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...
Persistent link: https://www.econbiz.de/10008915798
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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...
Persistent link: https://www.econbiz.de/10009003125