How to Deal with Structural Breaks in Practical Cointegration Analysis
Author | : Roselyne Joyeux |
Publisher | : |
Total Pages | : 11 |
Release | : 2001 |
Genre | : Cointegration |
ISBN | : 9781864086492 |
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Author | : Roselyne Joyeux |
Publisher | : |
Total Pages | : 11 |
Release | : 2001 |
Genre | : Cointegration |
ISBN | : 9781864086492 |
Author | : Pierre Perron |
Publisher | : MDPI |
Total Pages | : 167 |
Release | : 2018-04-13 |
Genre | : Business & Economics |
ISBN | : 3038428116 |
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author | : Maxym Chaban |
Publisher | : |
Total Pages | : 37 |
Release | : 2011 |
Genre | : |
ISBN | : |
This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
Author | : Michael McAleer |
Publisher | : Wiley-Blackwell |
Total Pages | : 284 |
Release | : 1999-08-03 |
Genre | : Business & Economics |
ISBN | : 9780631211983 |
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Author | : G. S. Maddala |
Publisher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author | : Poomthan Rangkakulnuwat |
Publisher | : |
Total Pages | : 284 |
Release | : 2005 |
Genre | : Cointegration |
ISBN | : |
Author | : Josep LluĂs Carrion-i-Silvestre |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Author | : Wang, John |
Publisher | : IGI Global |
Total Pages | : 2862 |
Release | : 2014-02-28 |
Genre | : Business & Economics |
ISBN | : 1466652039 |
As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.
Author | : S. Burke |
Publisher | : Springer |
Total Pages | : 253 |
Release | : 2005-06-14 |
Genre | : Business & Economics |
ISBN | : 0230005780 |
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.