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856
Iterative Maximum Likelihood Estimation of Cointegrating Vectors
, 2005
"... This paper introduces an iterative method to estimate the cointegrating vectors in the error correction models. The method provides the asymptotically efficient estimators for the cointegrating vectors if iterated once or more. If it is iterated until convergence, we may obtain the maximum likelihoo ..."
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This paper introduces an iterative method to estimate the cointegrating vectors in the error correction models. The method provides the asymptotically efficient estimators for the cointegrating vectors if iterated once or more. If it is iterated until convergence, we may obtain the maximum
Structural Breaks in the Cointegrated Vector Autoregressive Model
, 1999
"... We generalize the cointegrated vector autoregressive model of Johansen (1988) to allow for structural breaks. We derive the likelihood ratio test for structural breaks occurring at …xed points in time, and show that it is asymptotically Â 2: Moreover, we show how inference can be made when the null ..."
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We generalize the cointegrated vector autoregressive model of Johansen (1988) to allow for structural breaks. We derive the likelihood ratio test for structural breaks occurring at …xed points in time, and show that it is asymptotically Â 2: Moreover, we show how inference can be made when the null
Cointegration Vector Estimation by Panel DOLS and LongRun Money Demand
 Oxford Bulletin of Economics and Statistics
, 2003
"... We study the panel dynamic ordinary least square (DOLS) estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individualspecific time trends, individualspecific fixed effects and times ..."
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Cited by 92 (0 self)
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We study the panel dynamic ordinary least square (DOLS) estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individualspecific time trends, individualspecific fixed effects and time
Impacts of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
, 2011
"... This note investigates impacts of multivariate generalised autoregressive conditional heteroskedasticity (GARCH) errors on hypothesis testing for cointegrating vectors. The study reviews a cointegrated vector autoregressive model incorporating multivariate GARCH innovations and a regularity conditio ..."
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This note investigates impacts of multivariate generalised autoregressive conditional heteroskedasticity (GARCH) errors on hypothesis testing for cointegrating vectors. The study reviews a cointegrated vector autoregressive model incorporating multivariate GARCH innovations and a regularity
to the source. Cointegration Vector Estimation by Panel DOLS and LongRun Money Demand
, 2002
"... This paper was previously circulated under the title “A Computationally Simple Cointegration Vector Estimator for Panel Data. ” For valuable comments on earlier drafts, we thank Ronald Bewley, Roger Moon, ..."
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This paper was previously circulated under the title “A Computationally Simple Cointegration Vector Estimator for Panel Data. ” For valuable comments on earlier drafts, we thank Ronald Bewley, Roger Moon,
The Granger NonCausality Test in Cointegrated Vector Autoregressions
, 2003
"... ∗We thank Professor E. Jondeau for making available his data for the present research. The ini ..."
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Cited by 1 (0 self)
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∗We thank Professor E. Jondeau for making available his data for the present research. The ini
Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study,” mimeo
, 2004
"... In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The tests are the likelihood ratio test proposed by Johansen (1991) and the test for stationarity proposed by Kwiatkowski et al. (1992). The analysis of the likelihood ratio test is exte ..."
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Cited by 1 (0 self)
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In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The tests are the likelihood ratio test proposed by Johansen (1991) and the test for stationarity proposed by Kwiatkowski et al. (1992). The analysis of the likelihood ratio test
2005) Optimal power for testing potential cointegrating vectors with known parameters for nonstationarity
 Journal of Business and Economic Statistics
"... Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account ..."
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Cited by 12 (6 self)
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Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account
A Computationally Simple Cointegration Vector Estimator for Panel Data
, 1999
"... We study a panel version of the dynamic OLS estimator of a cointegration vector. The estimator is asymptotically normally distributed, can be made fully parametric, is computationally simple, and can achieve substantial improvements in precision over the single equation estimator. In a series of Mon ..."
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Cited by 19 (5 self)
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We study a panel version of the dynamic OLS estimator of a cointegration vector. The estimator is asymptotically normally distributed, can be made fully parametric, is computationally simple, and can achieve substantial improvements in precision over the single equation estimator. In a series
Structural Changes in the Cointegrated Vector Autoregressive Model, Journal of Econometrics forthcoming
, 2003
"... This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the test fo ..."
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Cited by 28 (0 self)
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This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the test
Results 11  20
of
856