کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1141290 | 1489441 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Joint detection of unit roots and cointegration: Data-based simulation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper investigates two problems which a practitioner of Johansen's cointegration analysis faces: the pre-testing problem and the inconsistency problem. Johansen's cointegration analysis requires hypothesis testing at four stages, and thus Type I errors accumulate. In addition, it often occurs that the results of unit root tests and those of cointegration tests are inconsistent. In order to overcome these problems, an information-criterion-based model selection method for jointly detecting unit roots and cointegration is proposed. Through empirical applications and Monte Carlo simulations, the usefulness of this method is demonstrated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 75, Issues 1â2, 27 May 2007, Pages 28-36
Journal: Mathematics and Computers in Simulation - Volume 75, Issues 1â2, 27 May 2007, Pages 28-36
نویسندگان
Kosei Fukuda,