Browsing by Subject "Cointegration"
Now showing items 1-6 of 6
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Article
The Bierens test for certain nonstationary models
(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 ...
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Article
Cointegration and joint efficiency of international commodity markets
(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 ...
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Article
Dynamic misspecification in nonparametric cointegrating regression
(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) ...
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Article
A multiresolution approach to cointegration for enhanced SHM of structures under varying conditions - An exploratory study
(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 ...
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Doctoral Thesis Open Access
Three essays on the performance of single equation cointegration estimators in finite samples
(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 ...
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Article
Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited
(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. ...