Browsing by Subject "Cointegration"

Now showing items 1-6 of 6

    • Article  

      The Bierens test for certain nonstationary models 

      Kasparis, Ioannis (2010)
      We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition ...
    • Article  

      Cointegration and joint efficiency of international commodity markets 

      Hassapis, Christis; Kalyvitis, Sarantis; Pittis, Nikitas (1999)
      This paper investigates the semi-strong efficiency hypothesis in the international commodity markets of four industrialized countries, using vector autoregression (VAR) and cointegration techniques. Efficiency in these ...
    • Article  

      Dynamic misspecification in nonparametric cointegrating regression 

      Kasparis, Ioannis; Phillips, Peter C. B. (2012)
      Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
    • Article  

      A multiresolution approach to cointegration for enhanced SHM of structures under varying conditions - An exploratory study 

      Worden, K.; Cross, E. J.; Antoniadou, I.; Kyprianou, Andreas (2014)
      Cointegration has now been established as a powerful means of projecting out long-term trends from time-series data in the context of econometrics. Recent work has further established that cointegration can be applied ...
    • Doctoral Thesis  Open Access

      Three essays on the performance of single equation cointegration estimators in finite samples 

      Christou, Christina (Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and Management, 2001)
      Η παρούσα έρευνα εξέτασε τη συγκριτική αποτελεσματικότητα μιας εναλλακτικής διδακτικής προσέγγισης για την ενότητα «Κυκλοφορικό Σύστημα» σε σχέση με την παραδοσιακή διδακτική προσέγγιση, όπως προτείνεται στα διδακτικά ...
    • Article  

      Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited 

      Hassapis, Christis; Pittis, Nikitas; Prodromidis, Kyprianos P. (1999)
      The aim of this paper is twofold: First, it shows that: (a) sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved. ...