Cointegration Analysis With Structural Breaks And Deterministic Trends
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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 | : 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.
Author | : Bernhard Pfaff |
Publisher | : Springer Science & Business Media |
Total Pages | : 193 |
Release | : 2008-09-03 |
Genre | : Business & Economics |
ISBN | : 0387759670 |
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
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 | : 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 | : Roselyne Joyeux |
Publisher | : |
Total Pages | : 11 |
Release | : 2001 |
Genre | : Cointegration |
ISBN | : 9781864086492 |
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Evžen Kočenda |
Publisher | : Charles University in Prague, Karolinum Press |
Total Pages | : 220 |
Release | : 2015-12-01 |
Genre | : Business & Economics |
ISBN | : 8024631997 |
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky
Author | : Traoré, Fousseini |
Publisher | : Intl Food Policy Res Inst |
Total Pages | : 24 |
Release | : 2021-12-31 |
Genre | : Political Science |
ISBN | : |
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Author | : M. Hatanaka |
Publisher | : Springer Science & Business Media |
Total Pages | : 124 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 4431659129 |
In macro-econometrics more attention needs to be paid to the relationships among deterministic trends of different variables, or co-trending, especially when economic growth is of concern. The number of relationships, i.e., the co-trending rank, plays an important role in evaluating the veracity of propositions, particularly relating to the Japanese economic growth in view of the structural changes involved within it. This book demonstrates how to determine the co-trending rank from a given set of time series data for different variables. At the same time, the method determines how many of the co-trending relations also represent cointegrations. This enables us to perform statistical inference on the parameters of relations among the deterministic trends. Co-trending is an important contribution to the fields of econometric methods, macroeconomics, and time series analyses.