In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X_{t}= gamma Z_{t}+Y_{t}, where Z_{t} belongs to a large...

This paper proposes new, simple, and more accurate statistical tests in a cointegrated system that allows for endogenous regressors and serially dependent errors. The approach involves first transforming the time series using some orthonormal basis functions in L2[0,1], which has energy...

In dieser Arbeit wird eine algorithmische Anlagestrategie untersucht, die auf paarweise kointegrierten Assets basiert. Das Kernstück solcher Strategien bildet das Auffinden von handelbaren Linearkombinationen aus mindestens zwei Assets. Ein intuitiver Ansatz, um solche Linearkombinationen...

Recent housing policies include measures for home purchase control and shanty town redevelopment. This study proposes sustainable pricing, in that the long-run equilibrium price is determined by the fundamentals of house prices. We argue that changes in CPI might have led to rapidly growing...

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...