Author: Hui LiuPublisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 0
Book Description
Three Essays on Unit Root Tests and Cointegration
Author: Hui LiuThree Essays on More Powerful Cointegration Tests
Author: Hyejin LeePublisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 102
Book Description
The main focus of this dissertation is to find ways to improve the power in cointegration tests. This dissertation consists of three essays. In the first essay, a modified testing procedure for the Engle and Granger (1987; EG) cointegration test is suggested. Specifically, we suggest augmenting the usual EG testing regression with the first difference of the integrated regressors. The limiting distribution of this modified EG test under the null hypothesis will depend on the nuisance parameter, which reflects the signal-to-noise ratio. This essay shows that the nuisance parameter issue can be resolved when we follow the asymptotic distribution of the modified EG test, and use the relevant new sets of critical values corresponding to the estimated value of the nuisance parameter. It is found that the size and power properties of the modified EG test are fairly good. The modified EG test gains improved power rather than losing power as the signal-to-noise ratio increases. In the second essay, we examine whether non-linear unit root tests is robust with non-normal errors, which provides a motivation for the third essay. Especially, the second essay demonstrates how popular nonlinear unit root tests perform in the presence of non-normal errors. Non-normal errors normally do not pose a problem in usual linear unit root tests since the least squares estimator will still be the most efficient under certain ideal conditions regardless of normal or non-normal errors. The asymptotic properties of the popular linear Dickey-Fuller tests, for example, will be unaffected by non-normal errors. As such, the literature has not paid much attention to this issue. Nevertheless, whether similar results will carry over to nonlinear unit root tests with non-normal errors is a question that merits examination. To our surprise, the extant literature on nonlinear unit root tests has not examined this important question. We find that, in general, nonlinear unit root tests will suffer a loss of power in the presence of non-normal errors. In this regard, this essay brings out the neglected point that the obvious analogies of linear processes do not necessarily hold for nonlinear models. The third essay suggests new cointegration tests that are more powerful in the presence of non-normal errors. We use a two-step procedure based on the "residual augmented least squares" (RALS) method to make use of nonlinear moment conditions driven by non-normal errors. By utilizing this neglected information, we can make the existing tests more powerful. The suggested testing procedure is easy to implement. The underlying idea is similar to adding stationary covariates to improve the power of the test, but the suggested procedure does not require any new covariates outside the system. Instead, we can exploit the information on the non-normal error distribution that is already available but ignored in the usual cointegration tests. Our simulation results show significant power gains over existing cointegration tests.
Three Essays on Unit Roots, Cointegration, and Structural Changes
Author: Inpyo LeePublisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 153
Book Description
Three Essays on Expectations, Unit Roots, and Cointegration in Developed and Newly Industrializing Countries
Author: Joseph D. AlbaPublisher:
ISBN:
Category : Developing countries
Languages : en
Pages : 168
Book Description
Unit Roots, Cointegration, and Structural Change
Author: G. S. MaddalaPublisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Two Essays on Unit Root and Cointegration Tests with Breaks
Author: Meng-shiuh ChangThree Essays on Nonlinear Nonstationary Econometrics and Applied Macroeconomics
Author: Youngsoo BaeThree Essays in Applied Econometrics with Applications to International Trade and Finance
Author: Patrice WhitelyPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 350
Book Description
Cointegration
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.
Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange
Author: Daniel DengPublisher:
ISBN:
Category : Electric power distribution
Languages : en
Pages : 170
Book Description