Testing for Common Trends
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(only showing first 100 items - show all)- The impact of structural breaks on the integration of the ASEAN-5 stock markets
- Credit, income, and causality: a contemporary co-integration analysis
- Common nonstationary components of asset prices
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
- Continuous time autoregressive models with common stochastic trends
- Error correction models, cointegration and the internal model principle
- 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
- Forecasting time series with common seasonal patterns (with discussion)
- Maximum likelihood inference on cointegration and seasonal cointegration
- Spectral and persistence properties of cyclical growth
- Computation of the Beveridge--Nelson decomposition for multivariate economic time series
- Multivariate detrending under common trend restrictions: implications for business cycle research
- Cointegrated processes with infinite variance innovations
- 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
- Residual based tests for cointegration. A Monte Carlo study of size distortions
- Five alternative methods of estimating long-run equilibrium relationships
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Direct cointegration testing in error correction models
- 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
- Disaggregate stochastic trends in industrial production
- Nonparametric cointegration analysis
- Analysis of cointegrated VARMA processes
- Testing cointegration in infinite order vector autoregressive processes
- 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
- Estimating fractional cointegration in the presence of polynomial trends
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- On bootstrapping regressions with unit root processes
- Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
- Statistical inference in regression with heavy-tailed integrated variables
- Calculation of aggregate demand and supply disturbances from a common trends model
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Panel cointegration testing in the presence of a time trend
- Cointegration analysis with state space models
- Traders' networks of interactions and structural properties of financial markets: an agent-based approach
- Generalized method of moments estimation for cointegrated vector autoregressive models
- \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models
- Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
- Determination of cointegrating rank in fractional systems.
- The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
- A CUSUM test for cointegration using regression residuals
- Estimating cointegrated systems using subspace algorithms
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- Tests for cointegration. A Monte Carlo comparison
- On the determination of integration indices in I(2) systems
- On exchange rates and efficiency
- An alternative approach to estimation of structural vector error correction models with long-run restrictions
- A residual based test for the null hypothesis of cointegration.
- 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
- On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
- Cause-specific mortality rates: common trends and differences
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- 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
- A robust procedure to build dynamic factor models with cluster structure
- Regression-based analysis of cointegration systems
- A unifying theory of tests of rank
- Wavelet variance ratio cointegration test and wavestrapping
- Forecasting with nonstationary dynamic factor models
- Estimating cross-section common stochastic trends in nonstationary panel data
- A simple test for the equality of integration orders
- Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example
- Nonstationary dynamic factor analysis
- An asymptotic invariance property of the common trends under linear transformations of the data
- Interpreting cointegrating vectors and common stochastic trends
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing for common deterministic trend slopes
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- Business cycle and corporate failure in France: Is there a link?
- Modelling structural breaks, long memory and stock market volatility: an overview
- Cointegration in fractional systems with deterministic trends
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Testing cointegration in quantile regressions with an application to the term structure of interest rates
- Disentangling the source of non-stationarity in a panel of seasonal data
- The effect of linear time trends on the KPSS test for cointegration
- Testing for common trends in semi-parametric panel data models with fixed effects
- 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
- Clive W. J. Granger and cointegration
- Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
- Extracting a common stochastic trend: theory with some applications
- Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
- Intertemporal consumer behaviour under structural changes in income
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
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