Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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TL;DR: In this article, the effects of dynamic specification on the size and power of three cointegration tests are investigated. But the authors focus on the residual augmented Dickey-Fuller unit root test and the likelihood ratio test in vector autoregressive models.
Abstract: textThe article discusses the use of some Monte Carlo experiments to investigate the effects of dynamic specification on the size and power of three cointegration tests. The first test, proposed by Engle and Granger (1987), is the residual augmented Dickey-Fuller unit root test. The second is a Wald test for the significance of the error correction mechanism in an autoregressive-distributed lag model, suggested by Boswijk (1989) and further developed in Boswijk (1991). The third test is a likelihood ratio test in a vector autoregressive model, proposed by Johansen (1988) and extended in Johansen and Juselius (1990).
134 citations
TL;DR: In this paper, the authors consider semiparametric frequency domain analysis of cointegration between long memory processes, and derive the asymptotic distribution theory for the FDLS estimator of the co-integration vector in the stationary long memory case.
134 citations
01 Feb 1995
TL;DR: In this paper, the authors investigate the degree of short-run and long-run comovement in U.S. sectoral output data by estimating sectoral trends and cycles.
Abstract: We investigate in this paper the degree of short-run and long-run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral outputs from first principles. Cointegration and common-cycle tests are performed; sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed, and the results indicate a very similar cyclical behavior across sectors and very different behavior for trends. In a variance decomposition analysis, prominent sectors such as Manufacturing and Wholesale/Retail Trade exhibit relatively important transitory shocks.
134 citations
TL;DR: In this article, the determinants of trade balances of seven East Asian countries, using cointegration technique, error correction model, and impulse response function, were examined and the results showed that there are significant differences in the duration and the extent of the J-curve effect across countries.
Abstract: This paper examines the determinants of trade balances of seven East Asian countries, using cointegration technique, error correction model, and impulse response function. Among other things, our investigation confirms the existence of J-curve effect and the results show that there are significant differences in the duration and the extent of the J-curve effect across countries. Several explanations consistent with those findings are advanced in the paper, including differences in exchange rate and trade regimes across sample countries. It is likely that liberalization of an exchange rate regime coupled with liberalization of trade may act to dampen the J-curve effect.
134 citations
TL;DR: In this paper, it was shown that the estimation of a cointegrating vector from an ADL specification is equivalent to that from an error-correction (EC) model, and that the asymptotic normality available in the ADL model under exogeneity carries over to the EC estimator.
Abstract: This paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different reparameterizations and interpretations are reviewed. Then we show that the estimation of a cointegrating vector from an ADL specification is equivalent to that from an error-correction (EC) model. Therefore, asymptotic normality available in the ADL model under exogene-ity carries over to the EC estimator. Next, we review cointegration tests based on EC regressions. Special attention is paid to the effect of linear time trends in case of regressions without detrending. Finally, the relevance of our asymptotic results in finite samples is investigated by means of computer experiments. In particular, it turns out that the conditional EC model is superior to the unconditional one.
133 citations