Cointegration PowerPoint PPT Presentations

Cointegration and Common Factors ... Common Trend representation (Stock-Watson): ... we will estimate the ECM in the following simple way ...

Cointegration and Threshold Adjustment

Problems With Engle-Granger Two Step Procedure ... Therefore with EG two step we obtain. With the standard ECM procedure we have: ...

Spurious Regression and Simple Cointegration Gloria Gonz lez-Rivera University of California, Riverside and Jes s Gonzalo U. Carlos III de Madrid

Non-traded goods sector exhibits lower productivity historically than traded goods sector ... are determined in dynamic stochastic general equilibrium models ...

Cointegration in Single Equations: Lecture 5 Introduction Using an Error Correction Model (ECM) assumes there is a long-run relationship between the variables in a ...

... disequilibrium errors ut can be modelled by a first order AR process. ... Testing for Cointegration using CRADF test. Step 1: Estimate cointegrating regression ...

Engle-Granger Two-Step approach (1) Estimate long run relationship ... Engle Granger ... Banerjee et al. approach performs better than Engle-Granger method. ...

Describe the Dickey-Fuller test for stationarity ... This test assumes that the error term (u) follows the Gauss-Markov assumptions. ...

A series xt is integrated of order d (we call it I(d) process) if the series ... A trend-stationary process can be mistaken for a unit root process if the time ...

12.3.1 Dickey-Fuller Test 1 (no constant and no trend) ... An important extension of the Dickey-Fuller test allows for the possibility that ...

Property prices in Hong Kong are more volatile than most other countries. ... Banking sector remains sound despite the collapse in property prices since 1998. Data ...

14 Vector Autoregressions, Unit Roots, and Cointegration What is in this Chapter? This chapter discusses work on time-series analysis starting in the 1980s.

... Water Demand Using. co-integration and Error Correction Techniques ... long-run water demand elasticities in European cities have been rarely estimated. ...

Engle, Robert F. and Clive W.J. Granger (1987): Cointegration and Error ... Houston, Texas, The James A. Baker III Institute for Public Policy. ...

2. THE PROBLEM WITH NONSTATIONARY TIME SERIES ... number of lags in VAR (various methods: Sims LR, AIC/SIC/HIC) ... Mehra (1998) The bond rate and actual future ...

... 12.4 Cointegration 12.4 Cointegration 12.4.1 An Example of a Cointegration Test 12.4.1 An Example of a Cointegration Test 12.5 Regression When There Is ...

Cointegration of two or more time series suggests that there is a long-run, or equilibrium, relationship between them. Testing for Cointegration ...

Title: ORDERED MEAN DIFFERENCE AND STOCHASTIC DOMINANCE AS PORTFOLIO PERFORMANCE MEASURES with an approach to cointegration Subject: dissertation paper

Motivation and Agenda. Context: International Real Estate Securities Investment. Cointegration Between Markets Important Affects the diversification benefits of ...

Does the Barro-Gordon Model Explain the ... so we can not say whether this case is or not in accordance with the Barro-Gordon model. 8. Cointegration tests ...

VAR. VMA. VARMA. Cointegration. Modeling Volatility. VGARCH models ... Building VAR(p) Model. L9: Vector Time Series. 13. VMA and VARMA. L9: Vector Time Series ...

Non-stationarity and cointegration ... The greatest non sequitur in econometrics? Perhaps the greatest non sequitur in the history of econometrics is the ...

Test for cointegration : ls log(cons) c log(gdp) (5% CV for this case is t=4.24) Estimate the ECM (dynamic model) ls dlog(cons) c ecm(-1) dlog(cons(-1)) dlog(gdp ...

This is missing in the time line. Lenders can exploit information in different ways. ... Time series bivariate cointegration analysis. Panel data analysis ...

Does Better Corporate Governance Lead to Stock Market Development ... Interpretation 1: Stock markets are like casinos; not important for capital accumulation. ...

A regression of one random walk series (nonstationary) on another random walk ... Augmented Engel-Granger test confirmed the presence of stable long-run ...

Diplomarbeit zum Thema slot-Allokation Slot-Allokation in ...

... in Hungarian Forint and are referring to one kilogram product EVOLUTION OF SECTORAL PRICES METHODOLOGY Unit root test : Augmented Dickey-Fuller ... test: Johansen ...

Multivariate Cointegartion The Johansen Maximum Likelihood Procedure Granger Causality Tests Continued According to Granger, causality can be further sub-divided into ...

... marketing strategies and effective decision-making (Diebold and Mariano,1995). The need for market information (projection) has grown with the deregulation and ...

III. A. Spurious regression. 1. What is spurious regression? ... Y and X share the same stochastic trend so that they are tied together in the ...

Testing for Unit Roots Consider an AR(1): yt = a + ryt-1 + et Let H0: r = 1, (assume there is a unit root) Define q = r 1 and subtract yt-1 from both sides to ...

Forecasting of the Exchange Rate. 17. References ... Econometrica, vol. 55, No. 2, pp. 251-276. ... Sims Christopher A (1980) Macroeconomics and Reality, 48:1 ...

Phillips-Perron Test for Stationarity. KPSS Test for Stationarity. Structural Break Tests Using Perron (1992) Model. Afternoon Session: 13.30 16.20 ...

It is easy to see that: Illustration. Are the observed outliers additive or innovational? An additive outlier in real money stock ...

Some Useful Econometric Techniques Selcuk Caner

Evolution of Inter and Intra-Regional Linkages to MENA Equity Market Eric Girard and Eurico Ferreira Introduction Mellon Capital: Our global tactical and strategic ...

ASIA-LINK PROGRAMME Euro-Philippines Network in Banking & Finance Enhancing Teaching and Research Asialink/ASIE/B7-3010/2005/105-139 RESEARCH CONFERENCE ON

The challenge of change: Managing for Sustainability of Oceanic ... Abidjan oil SJ. Price-cost margins of canned tuna sold in Europe. UK dry SJ. Key results: ...

Taking the theory to the data: A proposal Romer: Advanced Macroeconomics, Chapter 9: Inflation and Monetary Policy Specific to General versus General to ...

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Bucharest University of Economics Doctoral School of Finance and Banking DOFIN Policy Mechanism Transmission Channels in Romania Supervisor: Professor Dr. Mois Alt r

Composite Commodity - ??????????????????????????????????????. ??. ... ???????????????? S&P, Fuji, Food Courts, ??? - ????????????????? Tesco, 7-Eleven, Tops, ??? ...

ENERGY CONSUMPTION AND ECONOMIC GROWTH: THE NIGERIAN CASE Ekene Stephen Aguegboh and Stella Ifeoma Madueme, Ph.D 6th ANNUAL NAEE/IAEE INTERNATIONAL CONFERENCE *

After the reduced from VAR representation has been aptly estimated, the ... Amisano & C Gianni (1997): Topics in Structural VAR Econometrics, New York. ...

Deriving the VECM. Consider the VAR(2) Subtract to give. From RHS add and subtract. 20 ... Sims, C. (1980) Macro economics and Reality, Econometrica 48, 1-48. ...

sft and sat denote ASX Fifty Leaders and All Ordinaries respectively ... A dividend index was constructed from Melbourne Fifty Leaders and ASX Fifty Leaders data ...

Examining Asymmetric Behavior between Energy Consumption and Economic Growth in Taiwan

An Empirical Evaluation of Relationship Between Crude Oil ... Jose Villar. jvillar@eia.doe.gov. Natural Gas Division. Energy Information Administration (EIA) ...

The instability in the oil market in recent years affect many ... Im, Pesaran & Shin. Unit Root. 0.00 (0.50) 2.17 (0.98) -1.95 (0.02) ADF-Fisher. Unit Root ...

DETERMINANTS OF INFLATION IN ROMANIA Student: COVRIG NICOLAE Supervisor: Prof. MOIS ALT R The facts ... The goals... To find out the causes of high and persistent ...

The period 1982 to 2004 saw a number of disputes in softwood lumber trade ... boosted US production. In 2001 US imposed the CVD and AD duties (approx. 27%) 7/13/09 ...

Economics 310 Lecture 24 Univariate Time Series

Effect of Transportation Structure Change on Emissions Reduction Based on Panel Data Model Reporter: Xing Limin Outline Introduction Panel Data Model Results ...

Theme: The Economics of Natural Resource Management Long and short-run linkages between economic growth, energy consumption and CO2 emissions in Tunisia