Direct cointegration testing in error correction models
نویسندگان
چکیده
منابع مشابه
Testing for Cointegration in Nonlinear STAR Error Correction Models
In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the generalised nonlinear STAR error correction model. We provide two operational versions of the tests. First...
متن کاملCointegration and Error Correction
1 The Background Elementary courses in statistics introduce at an early stage the key assumption of “random sampling”. In more technical language, the data set is assumed to be identically and independently distributed (i.i.d.). In this framework a range of simple and elegant results can be derived, for example, that the variance of the mean of n observations is 1/n times the variance of the ob...
متن کاملNot Just for Cointegration: Error Correction Models with Stationary Data
The error correction model is generally thought to be isomorphic to integrated data and the modeling of cointegrated processes, and as such, is considered inappropriate for stationary data. Given that many political time series are not integrated, analysts are unable to take advantages of the error correction model’s ability to capture both long and short-term dynamics in a single statistical m...
متن کاملTESTING FOR AUTOCORRELATION IN UNEQUALLY REPLICATED FUNCTIONAL MEASUREMENT ERROR MODELS
In the ordinary linear models, regressing the residuals against lagged values has been suggested as an approach to test the hypothesis of zero autocorrelation among residuals. In this paper we extend these results to the both equally and unequally replicated functionally measurement error models. We consider the equally and unequally replicated cases separately, because in the first case the re...
متن کامل[The effect of prison crowding on prisoners' violence in Japan: testing with cointegration regressions and error correction models].
This research examined the effect of prison population densities (PPD) on inmate-inmate prison violence rates (PVR) in Japan using one-year-interval time-series data (1972-2006). Cointegration regressions revealed a long-run equilibrium relationship between PPD and PVR. PPD had a significant and increasing effect on PVR in the long-term. Error correction models showed that in the short-term, th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1994
ISSN: 0304-4076
DOI: 10.1016/0304-4076(93)01561-y