Author: Heino Bohn NielsenPublisher:
ISBN:
Category :
Languages : en
Pages : 22
Book Description
Cointegration Analysis in the Presence of Outliers
Author: Heino Bohn NielsenOutlier Detection in Cointegration Analysis
Author: Philip Hans FransesPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we obtain weights for all observations in the sample. These weights can be used to identify approximate dates of those atypical events. We evaluate our method via some illustrative simulated data. Furthermore, since our robust approach involves a few additional decisions on the values of key parameters, we investigate the sensitivity of our method through extensive Monte- Carlo simulations. Finally, we present an empirical example based on real-life data to show that OLS based cointegration can yield spurious cointegration.
Outlier Robust Cointegration Analysis
Author: Philip Hans FransesOutlier Robust Cointegration Analysis
Author: Philip Hans FransesPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Standard unit root tests and cointegration tests are sensitive to atypical events such as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we obtain weights for all observations in the sample. These weights can be used to identify the approximate dates of the atypical events. We evaluate our method using some illustrative simulated data. Furthermore, since our robust approach involves a few additional decisions on the values of key parameters, we investigate the sensitivity of our method through extensive Monte-Carlo simulations. Finally, we present an empirical example based on real-life data to show that OLS-based cointegration tests can spuriously indicate stationarity.
Cointegration Analysis in the Presence of Flexible Trends
Author: V. SiersmaUnit Root, Outliers and Cointegration Analysis with Macroeconomic Applications
Author: Gabriel RodrÃguezCointegration
Author: Bhaskara B. RaoPublisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
The Cointegrated VAR Model
Author: Katarina JuseliusPublisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478
Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Palgrave Handbook of Econometrics
Author: Terence C. MillsPublisher: Springer
ISBN: 0230244408
Category : Business & Economics
Languages : en
Pages : 1406
Book Description
Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Cointegration Tests in the Presence of Structural Breaks
Author: Julia CamposPublisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
Book Description