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Cointegration

About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.


Papers
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Journal ArticleDOI
TL;DR: In this article, the authors estimate the intertemporal elasticity of substitution of non-durable consumption, which has often been estimated with the generalized methods of moments (GMM), which is not consistent in the presence of liquidity constraints, aggregation over heterogeneous consumers, unknown preference shocks, or a general form of time-nonseparability.

163 citations

Journal ArticleDOI
TL;DR: In this article, a vector error correction model using peak and off-peak electricity spot prices during 1994-1996 covering 11 regional markets in the western United States and test these prices for evidence of market integration.

163 citations

Journal ArticleDOI
TL;DR: In this article, rank-test procedures based on the difference between the sequences of ranks are suggested to test nonlinear cointegration between the time series, and Monte Carlo simulations suggest that for a wide range of nonlinear models the rank tests perform better than their parametric competitors.
Abstract: A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener processes. Rank-test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the sequences of ranks evolve similarly. Monte Carlo simulations suggest that for a wide range of nonlinear models the rank tests perform better than their parametric competitors. To test for nonlinear cointegration, a variable addition test based on ranks is suggested. In an empirical illustration, the rank statistics are applied to test the relationship between bond yields with different times to maturity.

163 citations

Journal ArticleDOI
Michael P. Murray1
TL;DR: In this article, a stationary linear combination of non-stationary random variables is defined, and the variables combined are said to be cointegrated, and a humorous example of a drunk and her dog illustrates this.
Abstract: If there exists a stationary linear combination of nonstationary random variables, the variables combined are said to be cointegrated. A humorous example of a drunk and her dog illustrates...

162 citations

Journal ArticleDOI
TL;DR: In this article, an LM-type statistic is proposed to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the co-integration vector.
Abstract: In this paper we propose an LM-Type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vector. Our proposal focuses on the presence of endogenous regressors and analyses which estimation method provides better results. The test has been designed to be used as a complement to the usual non-cointegration tests in order to obtain stronger evidence of cointegration. We consider the cases of known and unknown break date. In the latter case, we show that minimizing the SSR results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.

162 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023757
20221,583
2021645
2020755
2019752
2018720