Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Erschienen in:
Introduction Kapitel lesen Erstes Kapitel lesen

2016 | OriginalPaper | Buchkapitel

16. Cointegration Analysis

verfasst von : Uwe Hassler

Erschienen in: Stochastic Processes and Calculus

Verlag: Springer International Publishing

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

This chapter is addressed to the analysis of cointegrated variables. Properties like superconsistency of the LS estimator and conditions for asymptotic normality are extensively discussed. Error-correction is the reverse of cointegration, which is why we provide an introduction to the analysis of error-correction models as well. In particular, we discuss cointegration testing. In 2003, Clive W.J. Granger was awarded the Nobel prize for introducing the concept of cointegration. Finally, we stress once more the effect of linear time trends underlying the series.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Vorheriges Kapitel Trends, Integration Tests and Nonsense Regressions
Literatur
Banerjee, A., Dolado, J. J., & Mestre R. (1998). Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis, 19, 267–283.CrossRef
Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37–60.CrossRef
Davidson, J., Hendry, D. F., Srba, F., & Yeo S. (1978). Econometric modelling of the aggregate time-series relationship between consumers’ expenditure and income in the United Kingdom. Economic Journal, 88, 661–692.CrossRef
Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55, 251–276.CrossRef
Ericsson, N. R., & MacKinnon, J. G. (2002). Distributions of error correction tests for cointegration. Econometrics Journal, 5, 285–318.CrossRef
Frisch, R., & Waugh, F. V. (1933). Partial time regressions as compared with individual trends. Econometrica, 1, 387–401.CrossRef
Hamilton, J. (1994). Time series analysis. Princeton: Princeton University Press.
Hansen, B. E. (1992). Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends. Journal of Econometrics, 53, 87–121.CrossRef
Harris, D., & Inder, B. (1994). A test of the null hypothesis of cointegration. In C. P. Hargreaves (Ed.), Nonstationary time series analysis and cointegration (pp. 133–152). Oxford/New York: Oxford University Press.
Hassler, U. (2000a). Cointegration testing in single error-correction equations in the presence of linear time trends. Oxford Bulletin of Economics and Statistics, 62, 621–632.CrossRef
Hassler, U. (2000b). The KPSS test for cointegration in case of bivariate regressions with linear trends. Econometric Theory, 16, 451–453.CrossRef
Hassler, U. (2001). The effect of linear time trends on the KPSS test for cointegration. Journal of Time Series Analysis, 22, 283–292.CrossRef
Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford/New York: Oxford University Press.CrossRef
Krämer, W. (1986). Least squares regression when the independent variable follows an ARIMA process. Journal of the American Statistical Association, 81, 150–154.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159–178.CrossRef
Leybourne, S. J., & McCabe, B. P. M. (1994). A simple test for cointegration. Oxford Bulletin of Economics and Statistics, 56, 97–103.CrossRef
MacKinnon, J. G. (1991). Critical values for co-integration tests. In R. F. Engle, & C. W. J. Granger (Eds.), Long-run economic relationships (pp. 267–276). Oxford/New York: Oxford University Press.
MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, 601–618.CrossRef
Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica, 60, 119–143.CrossRef
Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics. Journal of Econometrics, 33, 311–340.CrossRef
Phillips, P. C. B. (1987). Time series regression with a unit root. Econometrica, 55, 277–301.CrossRef
Phillips, P. C. B. (1991). Optimal inference in cointegrated systems. Econometrica, 59, 283–306.CrossRef
Phillips, P. C. B., & Durlauf, S. N. (1986). Multiple time series regression with integrated processes. Review of Economic Studies, LIII, 473–495.
Phillips, P. C. B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies, 57, 99–125.CrossRef
Phillips, P. C. B., & Loretan, M. (1991). Estimating long-run economic equilibria. Review of Economic Studies, 58, 407–436.CrossRef
Phillips, P. C. B., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica, 58, 165–193.CrossRef
Phillips, P. C. B., & Park, J. Y. (1988). Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors. Journal of the American Statistical Association, 83, 111–115.CrossRef
Saikkonen, P. (1991). Asymptotically efficient estimation of cointegration regressions. Econometric Theory, 7, 1–21.CrossRef
Shin, Y. (1994). A residual-based test of the Null of cointegration against the alternative of no cointegration. Econometric Theory, 10, 91–115.CrossRef
Stock, J. H. (1987). Asymptotic properties of least squares estimators of cointegrating vectors. Econometrica, 55, 1035–1056.CrossRef
Stock, J. H., & Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61, 783–820.CrossRef
West, K. D. (1988). Asymptotic normality, when regressors have a unit root. Econometrica, 56, 1397–1418.CrossRef
Metadaten
Titel
Cointegration Analysis
verfasst von
Uwe Hassler
Copyright-Jahr
2016
Buch
Stochastic Processes and Calculus

Print ISBN: 978-3-319-23427-4

Electronic ISBN: 978-3-319-23428-1

Copyright-Jahr: 2016

DOI
https://doi.org/10.1007/978-3-319-23428-1_16

Premium Partner

    Bildnachweise