کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555418 | 1376613 | 2005 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for cointegration using partially linear models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
A partially linear model of cointegration is developed where stationary covariates enter nonparametrically. We propose tests for cointegration using singular values of the estimated autoregressive matrix. The tests are based on eigenvalues of standardized matrices and are relatively simple to compute. Asymptotic theory of the proposed test is developed. It is shown that the limiting distribution of the proposed test is similar to that of several tests in the recent literature. A Gamma approximation of the distribution is discussed to facilitate inference. Finite sample properties of the proposed procedure are illustrated in some limited Monte Carlo experiments. An empirical application to US macroeconomic time series is conducted to highlight the approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 124, Issue 2, February 2005, Pages 363-394
Journal: Journal of Econometrics - Volume 124, Issue 2, February 2005, Pages 363-394
نویسندگان
Ted Juhl, Zhijie Xiao,