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 paper, the authors present evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan, England, Germany, and Canada.
1,007 citations
TL;DR: In this article, the authors investigate the long run relationship between financial depth and economic growth, trying to utilize the data in the most efficient manner via panel unit root tests and panel cointegration analysis.
1,000 citations
TL;DR: This article proposed an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways, and demonstrated that their test has good power and size properties over the EGS test when there are asymmetric departures from equilibrium.
Abstract: This article proposes an extension to the Engle–Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle–Granger test when there are asymmetric departures from equilibrium. We consider an application—namely, whether there exists cointegration among interest rates for instruments with different maturities. This issue has been widely tested with mixed results. We argue that either cautious policy, or possibly opportunistic behavior on the part of the Federal Reserve implies that an equilibrium relationship between short- and long-term interest rates exists but that adjustments from disequilibrium are asymmetric in nature. Empirical tests using U.S. yields confirm the asymmetric nature of error correction among interest rates of different maturities.
998 citations
TL;DR: In this article, the authors outline techniques for estimating linear dynamic regressions with stationary data and weakly exogenous regressors, and recommend analysts (1) start with general dynamic models and test restrictions before adopting a particular specification and (2) use the wide array of information available from dynamic specifications.
Abstract: Dramatic world change has stimulated interest in research questions about the dynamics of politics. We have seen increases in the number of time series data sets and the length of typical time series. But three shortcomings are prevalent in published time series analysis. First, analysts often estimate models without testing restrictions implied by their specification. Second, researchers link the theoretical concept of equilibrium with cointegration and error correction models. Third, analysts often do a poor job of interpreting results. The consequences include weak connections between theory and tests, biased estimates, and incorrect inferences. We outline techniques for estimating linear dynamic regressions with stationary data and weakly exogenous regressors. We recommend analysts (1) start with general dynamic models and test restrictions before adopting a particular specification and (2) use the wide array of information available from dynamic specifications. We illustrate this strategy with data on Congressional approval and tax rates across OECD countries.
976 citations
TL;DR: In this article, it is shown how the table in S. G. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank.
Abstract: It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of the proposed likelihood ratio test statistic depends on which parameter is considered under the null. It is shown how a recent procedure for unit root testing suggested by S. G. Pantula (1989) solves the problem. The procedure is illustrated by some published econometric examples. Copyright 1992 by Blackwell Publishing Ltd
975 citations