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中山大学岭南学院高级计量经济学课件（II：Time series）Ch6 Cointegration
中山大学岭南学院 高级计量经济学 课件（II：Time series） Ch6 Cointegration
2017/6/14
中山大学岭南学院高级计量经济学课件（II：Time series）Ch6 Cointegration。
中山大学岭南学院高级计量经济学课件（II：Panel Data）CH5 Unit Roots and Cointegration in panels
中山大学岭南学院 高级计量经济学 课件（II：Panel Data） CH5 Unit Roots and Cointegration in panels
2017/6/14
中山大学岭南学院高级计量经济学课件（II：Panel Data）CH5 Unit Roots and Cointegration in panels。
Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima- tion Bias correction Generalized method of moments Spatial cointegration
2016/1/19
Yu, de Jong and Lee (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with …xed e¤ects when both the number of individuals n and th...
An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach
Gasoline demand Time-varying coefficient Cointegration Canonical coin-tegration regression Error-correction model deadweight loss
2011/4/2
In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression.
Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification
cointegration rank test invertibility Jordan canonical form stationarity Whittle estimator
2009/3/6
The paper presents a feasible numerical procedure for evaluating the maximum Whittle likelihood estimates and the likelihood-ratio statistics, where to obtain the maximum Whittle likelihood estimates ...
Testing the null hypothesis of no cointegration against seasonal fractional cointegration
Seasonal fractional cointegration Long memory Seasonality
2010/9/10
In this article we propose a procedure for testing the null hypothesis of no cointegration against the alternative of seasonal fractional cointegration. It is a twostep procedure based on the univaria...
The Wold Representation, Degree of Non-Cointegration and the Johansen Trace Test
Cointegration trace test simulation vector moving average vector auto-regression
2010/9/7
The empirical size and power properties of the Johansen vector autoregression based trace test for cointegration are considered in the case where the data is generated by a sequence of vector moving a...
Low-Frequency Robust Cointegration Testing
stochastic trends persistence size distortion interest rates term spread
2014/3/18
Standard inference in cointegrating models is fragile because it relies on an assumption of an I (1) model for the common stochastic trends, which may not accurately describe the dataís persistence. T...
TESTING FOR COINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE PRESPECIFIE
TESTING FOR COINTEGRATION THE COINTEGRATING VECTORSPRESPECIFIE
2014/3/18
Many economic models imply that ratios, simple differences, or "spreads" of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and - l's and ...