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Cointegration

Cointegration.

ECONOMICS 266, Spring, 1997 BentE. S¿rensen March1,2005 1 Cointegration. The survey by Campbell and Perron (1991) is a very good supplement to this chapter-for fur-therstudyread Watson'ssurveyforthe handbook of econometrics Vol. IV, and for multivariate models use Johansen's (1995) book.

Cointegration: More on Testing Methods

Cointegration: More on Testing Methods Kremers, Ericsson, and Dolado (1992) discuss a potential problem with the ADF or DF test that holds for any single-equation unit root test.

COINTEGRATION

COINTEGRATION by Juan J. Dolado a, Jesús Gonzalo b and Francesc Marmol b a: Department of Economics, b : Department of Statistics and Econometrics Universidad Carlos III de Madrid C/.

COINTEGRATION ANALYSIS Herman J. Bierens1 Pennsylvania State ...

1 This paper is an updated and extended version of Bierens (1997b). 2 I like to thank Philip Hans Franses for providing me with this data set. The original sources of these time series are Krantz and Nilson (1975) and Melander, Vredin and Warne (1992). 1 COINTEGRATION ANALYSIS Herman J. Bierens ...

Time-series Econometrics: Cointegration and Autoregressive ...

Advanced information on the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 8 October 2003 Information Department, P.O. Box 50005, SE-104 05 Stockholm, Sweden Phone: +46 8 673 95 00, Fax: +46 8 15 56 70, E-mail: info@kva.se, Website: ww.kva.se Time-series Econometrics ...

Testing for Cointegration Using the Johansen Methodology when ...

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated; Erik Hjalmarsson and Pär Österholm; IMF Working Paper 07/141, June 1, 2007

Testing for Cointegration Using the Johansen Methodology when ...

Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 915 December 2007 Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated Erik Hjalmarsson and Pär Österholm NOTE: International Finance Discussion Papers are ...

Explaining Cointegration Analysis: Part II

2 DavidF. Hendryand Katarina Juselius that delivers an I (0) relation, it might bethought that it would be obvious from graphs of the variables.

Explaining Cointegration Analysis: Part I

Explaining Cointegration Analysis: Part I DavidF. Hendry Nueld College, Oxford and Katarina Juselius European University Institute, Florence September 10,1999 Abstract 'Classical'econometric theory assumes that observed data come from a stationary process, where means and variances are constant ...

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Cointegration analysis of wine export prices for France, Greece and Turkey M. Nisa Mencet 1 M.Ziya Firat 2 Cengiz Sayin 1 Akdeniz University, Agricultural Faculty, Department of Agricultural Economics, Antalya, Turkey (Tel: +90 2423106514 ...