Testing for Common Trends

Monte Carlo study power unit root integrated process factor models yield curve drift Critical values autoregressive representation Cointegrated multiple time series order of cointegration roots of the ordinary least squares coefficient matrix stationary linear combinations tests of the number of common trends

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Unnamed Item, Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application, Testing for common trends in semi‐parametric panel data models with fixed effects, Phase-shifting common cycles and common trends, Nonparametric estimation of functional dynamic factor model, Nonparametric cointegration analysis of fractional systems with unknown integration orders, Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, Business cycle and corporate failure in France: Is there a link?, A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models, MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy, RECOGNIZING OVERDIFFERENCED TIME SERIES, Moving dynamic principal component analysis for non-stationary multivariate time series, A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK, Estimating systems of trending variables, COINTEGRATION AND COMMON FACTORS, MODELING MACROECONOMIC SUBAGGREGATES: AN APPLICATION OF NONLINEAR COINTEGRATION, Comparisons of tests for multivariate cointegration, Trend and cycle decomposition of Markov switching (co)integrated time series, On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing, An Algebraic Estimator for Large Spectral Density Matrices, Inference in Heavy-Tailed Nonstationary Multivariate Time Series, INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES, Testing cointegration in quantile regressions with an application to the term structure of interest rates, Some recent developments in Markov Chain Monte Carlo for cointegrated time series, Disentangling the source of non-stationarity in a panel of seasonal data, Unnamed Item, ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS, A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA, A Review of Nonparametric Time Series Analysis, Durbin-Hausman tests for cointegration, Durbin-Hausman tests for cointegration, THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION, Determining the number of factors in a multivariate error correction-volatility factor model, Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation, Nonstationary dynamic factor analysis, Decomposition of hours based on extensive and intensive margins of labor, Long run recursive VAR models and QR decompositions., Test for cointegration based on two-stage least squares, Simulating competing cointegration tests in a bivariate system, The role of the drift in I(2) systems, BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, Intertemporal consumer behaviour under structural changes in income, A systematic framework for analyzing the dynamic effects of permanent and transitory shocks., A simple cointegrating rank test without vector autoregression, Cointegration Detection Using Dynamic Factor Models, VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING, Modelling comovements of economic time series: a selective survey, TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION, Instrumental variables estimation of stationary and non‐stationary cointegrating regressions, Interpreting cointegrating vectors and common stochastic trends, Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence, The estimation uncertainty of permanent-transitory decompositions in co-integrated systems, ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS, Multistep ahead forecasting of vector time series, Modelling structural breaks, long memory and stock market volatility: an overview, Cointegration in fractional systems with deterministic trends, Estimation of partially nonstationary vector autoregressive models with seasonal behavior, The univariate MT-STAR model and a new linearity and unit root test procedure, Panel cointegration testing in the presence of a time trend, Generalized principal component analysis for moderately non-stationary vector time series, The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test, Granger causality and the sampling of economic processes, Direct cointegration testing in error correction models, Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?, Cointegration analysis with state space models, Extracting a common stochastic trend: theory with some applications, Statistical inference in vector autoregressions with possibly integrated processes, A numerical Bayesian test for cointegration of AR processes, Measuring business cycles with business-cycle models, A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies, On cointegration tests for VAR models with drift, Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility, Static and dynamic factors in an information-based multi-asset artificial stock market, Cointegration in large VARs, Traders' networks of interactions and structural properties of financial markets: an agent-based approach, Common nonstationary components of asset prices, Statistical analysis of cointegration vectors, Testing for cointegration using principal components methods, Error correction models, cointegration and the internal model principle, Nonparametric cointegration analysis, On the specification and estimation of large scale simultaneous structural macroeconometric models, Generalized method of moments estimation for cointegrated vector autoregressive models, A unifying theory of tests of rank, Financial stability in European banking: The role of common factors, Analysis of cointegrated VARMA processes, Testing cointegration in infinite order vector autoregressive processes, Tests for cointegration. A Monte Carlo comparison, On the determination of integration indices in I(2) systems, Business cycle analysis without much theory: A look at structural VARs, Stability tests in error correction models, Testing multiple equation systems for common nonlinear components, On exchange rates and efficiency, The long-run determinants of fertility: one century of demographic change 1900--1999, An alternative approach to estimation of structural vector error correction models with long-run restrictions, Wavelet variance ratio cointegration test and wavestrapping, Information-based multi-assets artificial stock market with heterogeneous agents, Analytical evaluation of the power of tests for the absence of cointegration, Estimating fractional cointegration in the presence of polynomial trends, Direct estimation of the risk neutral factor dynamics of Gaussian term structure models, Forecasting with nonstationary dynamic factor models, Estimating cross-section common stochastic trends in nonstationary panel data, A residual based test for the null hypothesis of cointegration., Applications of higher-order optimal Newton secant iterative methods in ocean acidification and investigation of long-run implications of \(CO_{2}\) emissions on alkalinity of seawater, Improved likelihood ratio tests for cointegration rank in the VAR model, Testing for the cointegrating rank of a VAR process with a time trend, Testing for cointegration: power versus frequency of observation -- further Monte Carlo results, An algebraic interpretation of cointegration, The dynamic effects of aggregate demand and supply disturbances: Another Look, Asymptotic theory for linear diffusions under alternative sampling schemes, Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy, Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function, Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends, Credit market frictions and their direct effects on U.S. Manufacturing fluctuations, Markov-switching stochastic trends and economic fluctuations, On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond, Exact maximum likelihood estimation of structured or unit root multivariate time series models, Forecasting time series with common seasonal patterns (with discussion), Maximum likelihood inference on cointegration and seasonal cointegration, Using subspace algorithm cointegration analysis: simulation performance and application to the term structure, Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example, Identification and overidentification in SVECMs, Cause-specific mortality rates: common trends and differences, Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy, Cointegration in a historical perspective, \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models, A robust procedure to build dynamic factor models with cluster structure, A critique of the application of unit root tests, The impact of structural breaks on the integration of the ASEAN-5 stock markets, Spectral and persistence properties of cyclical growth, Computation of the Beveridge--Nelson decomposition for multivariate economic time series, Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages, On bootstrapping regressions with unit root processes, Multivariate detrending under common trend restrictions: implications for business cycle research, Credit, income, and causality: a contemporary co-integration analysis, Cointegrated processes with infinite variance innovations, Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors, Low-pass filtered least squares estimators of cointegrating vectors, System estimators of cointegrating matrix in absence of normalising information, Analysis of cointegration vectors using the GMM approach, Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form, Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Testing for \(r\) versus \(r-1\) cointegrating vectors, Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test, Residual based tests for cointegration. A Monte Carlo study of size distortions, Determination of cointegrating rank in fractional systems., The importance of common cyclical features in VAR analysis: A Monte-Carlo study., Regression-based analysis of cointegration systems, Statistical inference in regression with heavy-tailed integrated variables, Five alternative methods of estimating long-run equilibrium relationships, Calculation of aggregate demand and supply disturbances from a common trends model, A CUSUM test for cointegration using regression residuals, Estimating cointegrated systems using subspace algorithms, Testing for the cointegration rank when some cointegrating directions are changing, Size and power of some cointegration tests under structural breaks and heteroskedastfc noise