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Testing for cointegration using principal components methods

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Cited by:

  1. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
  2. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
  3. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
  4. Daniel Levy, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 100-137, January.
  5. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
  6. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
  7. Gonzalo Camba‐Mendez & George Kapetanios, 2005. "Estimating the Rank of the Spectral Density Matrix," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 37-48, January.
  8. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  9. Obeng, Samuel Kwabena, 2015. "An empirical analysis of the relationship between minimum wage, investment and economic growth in Ghana," MPRA Paper 65674, University Library of Munich, Germany.
  10. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
  11. Gianluca Cubadda, 1995. "A Note On Testing For Seasonal Cointegration Using Principal Components In The Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 499-508, September.
  12. Sudatta Bharati Mohapatra & Nirmal Chandra Kar, 2022. "Revisiting the Long-Run Dynamic Linkage between Dividends and Share Price with Advanced Panel Econometrics Techniques," JRFM, MDPI, vol. 15(10), pages 1-19, October.
  13. Philip Bodman, 1997. "The Australian Trade Balance and Current Account: a Time Series Perspective," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 39-57.
  14. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
  15. Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002. "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002 87, Society for Computational Economics.
  16. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
  17. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "A multi-country trend indicator for euro area inflation: computation and properties," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 81-108, Bank for International Settlements.
  18. Han, Hsiang-Ling, 2000. "Choice of currency basket weights and its implications on trade balance," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 323-350, October.
  19. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
  20. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
  21. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
  22. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, University Library of Munich, Germany.
  23. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
  24. Snell, Andy, 1998. "Testing for r versus r-1 cointegrating vectors," Journal of Econometrics, Elsevier, vol. 88(1), pages 151-191, November.
  25. Nielsen, Morten Orregaard, 2004. "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, vol. 83(2), pages 225-231, May.
  26. Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
  27. Muhammad Ahad & Zaheer Anwer, 2021. "Asymmetric impact of oil price on trade balance in BRICS countries: Multiplier dynamic analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2177-2197, April.
  28. Panagiotis Reppas & Efthymios Tsionas & Dimitris Christopoulos, 2001. "European common stochastic long-run trends," Journal of Economics, Springer, vol. 74(2), pages 119-130, June.
  29. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
  30. Katarzyna Łasak & Carlos Velasco, 2015. "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
  31. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
  32. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
  33. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
  34. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
  35. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "A multi-country trend indicator for euro area inflation: computation and properties," BIS Papers chapters,in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 81-108 Bank for International Settlements.
  36. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
  37. Tsung Wu Ho, 1999. "Export-orientation and investment-saving correlation: a case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 31(7), pages 805-813.
  38. A. Kanas, 2003. "Non-linear cointegration between stock prices and dividends," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 401-405.
  39. Mark J.Holmes, 2006. "Regime-Dependent output convergence in Latin America," Estudios de Economia, University of Chile, Department of Economics, vol. 33(1 Year 20), pages 65-81, June.
  40. Poncela, Pilar, 1997. "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS 6224, Universidad Carlos III de Madrid. Departamento de Estadística.
  41. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.
  42. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
  43. Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, vol. 56(6), pages 1333-1354, November.
  44. Margherita Gerolimetto & Isabella Procidano, 2008. "A test for fractional cointegration using the sieve bootstrap," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(3), pages 373-391, July.
  45. Katrakilidis Constantinos & Zafeiriou Eleni & Sariannidis Nikolaos & Dimitris Bantis, 2019. "Greenhouse gas emissions–crude oil prices: an empirical investigation in a nonlinear framework," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 21(6), pages 2835-2856, December.
  46. Robinson, Peter, 2007. "Diagnostic testing for cointegration," LSE Research Online Documents on Economics 4465, London School of Economics and Political Science, LSE Library.
  47. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
  48. Tomas Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2015. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Empirical Economics, Springer, vol. 49(2), pages 389-402, September.
  49. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
  50. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
  51. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
  52. Ahlgren, Niklas & Nyblom, Jukka, 2003. "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers 499, Hanken School of Economics.
  53. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  54. Charlotte S. Hansen & Bjorn E. Tuypens, 2007. "Spanning tests for options using principal components methods," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 739-746.
  55. Delpachitra, Sarath B., 2002. "Price rigidity in the downstream petroleum industry in New Zealand: where does it happen?," Energy Economics, Elsevier, vol. 24(6), pages 597-613, November.
  56. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  57. Gao, Zhaoxing & Tsay, Ruey S., 2021. "Modeling high-dimensional unit-root time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1535-1555.
  58. Zhaoxing Gao & Ruey S. Tsay, 2020. "Modeling High-Dimensional Unit-Root Time Series," Papers 2005.03496, arXiv.org, revised Aug 2020.
  59. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
  60. Johann Bröthaler & Michael Getzner, 2015. "The Tax-Spend Debate and Budgetary Policy in Austria," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 21(3), pages 299-315, August.
  61. Patrice Abry & B. Cooper Boniece & Gustavo Didier & Herwig Wendt, 2023. "Wavelet eigenvalue regression in high dimensions," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 1-32, April.
  62. R. Cellini & A. Scorcu, 1995. "How many Italies?," Working Papers 215, Dipartimento Scienze Economiche, Universita' di Bologna.
  63. Angulo, Laura & Godínez, Raúl & López, Axsell, 2020. "60 años de productividad: Enfoques para su estimación en Nicaragua [60 years of productivity: Approaches to its estimation in Nicaragua]," MPRA Paper 104943, University Library of Munich, Germany.
  64. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
  65. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
  66. Obeng, Samuel Kwabena, 2015. "An Empirical Analysis of the Relationship between Minimum Wage, Investment and Economic Growth in Ghana," African Journal of Economic Review, African Journal of Economic Review, vol. 3(2), July.
  67. Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
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