کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096169 | 1376508 | 2014 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing cointegration relationship in a semiparametric varying coefficient model
ترجمه فارسی عنوان
تست همبستگی در یک مدل ضریب متغیر نیمه پارامتری
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models, respectively. Our test statistics are residual based. We derive the asymptotic distributions of test statistics under the null hypothesis of cointegration and show that they are consistent against the alternative hypotheses. We also propose a wild bootstrap procedure companioned with the continuous moving block bootstrap method proposed in Paparoditis and Politis (2001) and Phillips (2010) to rectify severe distortions found in simulations when the sample size is small. We apply the proposed test statistic to examine the purchasing power parity (PPP) hypothesis between the US and Canada. In contrast to the existing results from linear cointegration tests, our varying coefficient cointegration test does not reject that PPP holds between the US and Canada.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 178, Part 1, January 2014, Pages 57-70
Journal: Journal of Econometrics - Volume 178, Part 1, January 2014, Pages 57-70
نویسندگان
Jingping Gu, Zhongwen Liang,