New Improved Tests for Cointegration with Structural Breaks

New Improved Tests for Cointegration with Structural Breaks
Author: Joakim Westerlund
Publisher:
Total Pages: 0
Release: 2007
Genre:
ISBN:

This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.

Cointegration Analysis with Structural Breaks and Deterministic Trends

Cointegration Analysis with Structural Breaks and Deterministic Trends
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.

Unit Roots, Cointegration, and Structural Change

Unit Roots, Cointegration, and Structural Change
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.

Festschrift in Honor of Peter Schmidt

Festschrift in Honor of Peter Schmidt
Author: Robin C. Sickles
Publisher: Springer Science & Business Media
Total Pages: 417
Release: 2014-03-15
Genre: Business & Economics
ISBN: 1489980083

From the Introduction: This volume is dedicated to the remarkable career of Professor Peter Schmidt and the role he has played in mentoring us, his PhD students. Peter’s accomplishments are legendary among his students and the profession. Each of the papers in this Festschrift is a research work executed by a former PhD student of Peter’s, from his days at the University of North Carolina at Chapel Hill to his time at Michigan State University. Most of the papers were presented at The Conference in Honor of Peter Schmidt, June 30 - July 2, 2011. The conference was largely attended by his former students and one current student, who traveled from as far as Europe and Asia to honor Peter. This was a conference to celebrate Peter’s contribution to our contributions. By “our contributions” we mean the research papers that make up this Festschrift and the countless other publications by his students represented and not represented in this volume. Peter’s students may have their families to thank for much that is positive in their lives. However, if we think about it, our professional lives would not be the same without the lessons and the approaches to decision making that we learned from Peter. We spent our days together at Peter’s conference and the months since reminded of these aspects of our personalities and life goals that were enhanced, fostered, and nurtured by the very singular experiences we have had as Peter’s students. We recognized in 2011 that it was unlikely we would all be together again to celebrate such a wonderful moment in ours and Peter’s lives and pledged then to take full advantage of it. We did then, and we are now in the form of this volume.

Practical Issues in Cointegration Analysis

Practical Issues in Cointegration Analysis
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.

Nonstationary Panels, Panel Cointegration, and Dynamic Panels

Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Author: Badi H. Baltagi
Publisher: Elsevier
Total Pages: 351
Release: 2000
Genre: Business & Economics
ISBN: 0762306882

In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.

A Simple Test for Cointegration in Dependent Panels with Structural Breaks

A Simple Test for Cointegration in Dependent Panels with Structural Breaks
Author: Joakim Westerlund
Publisher:
Total Pages: 0
Release: 2008
Genre:
ISBN:

This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.