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Cointegration: Bayesian Significance Test

Diniz, M.; Pereira, C. A. B.; Stern, J. M.
Fonte: TAYLOR & FRANCIS INC; PHILADELPHIA Publicador: TAYLOR & FRANCIS INC; PHILADELPHIA
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.25%
To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or multivariate models: VAR (VEC or VECM) models. These models usually include at least one cointegration relation. Although the Bayesian literature on VAR/VEC is quite advanced, Bauwens et al. (1999) highlighted that "the topic of selecting the cointegrating rank has not yet given very useful and convincing results". The present article applies the Full Bayesian Significance Test (FBST), especially designed to deal with sharp hypotheses, to cointegration rank selection tests in VECM time series models. It shows the FBST implementation using both simulated and available (in the literature) data sets. As illustration, standard non informative priors are used.

Cointegração fracionária em séries financeiras; Fractional Cointegration in financial series

Shie, Victor Sakimoto
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 17/05/2010 Português
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37.49%
O objetivo deste trabalho é apresentar alguns testes de cointegração fracionária para séries integradas de ordem d (dR), i.e., séries I(d), comparando-os com os testes de cointegração, cujo parâmetro d assume valores inteiros. O procedimento para os testes de cointegração fracionária utiliza reamostragens de bootstrap com reposição para gerar séries sob a hipótese nula de não cointegração. Estas reamostragens são então utilizadas para calcular os p-valores de algumas estatísticas de testes de regressão, tais como a estatística de Durbin-Watson e a estimativa do parâmetro de memória longa (d) residual. O poder destes testes é apresentado e comparado com os testes de cointegração, mostrando sua consistência. A aplicação destes testes a dados reais compara o modelo de correção de erros de cointegração com o modelo de correção de erros de cointegração fracionária utilizando a medida de erros quadráticos médios dos modelos ajustados.; The purpose of this project is to present some fractional cointegration tests for integrated time series of order d (dR), i.e., I(d) time series, comparing them to cointegration tests, where the parameter d assumes integer values. The tests procedure is done by using bootstrap samples to obtain series under the null hypothesis of non-cointegration. These samples are then used to estimate the p-value of some regression-based test statistics...

Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Teixeira, Ariel Amadeu Edwards
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
37.25%
Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Residual-based tests for cointegration and multiple regime shifts

Gabriel, Vasco J.; Sola, Martin; Psaradakis, Zacharias
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Trabalho em Andamento
Publicado em /11/2001 Português
Relevância na Pesquisa
37.36%
In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved Markov chain process. This specification has the considerable advantage of allowing for an unspecified number of stochastic breaks, unlike previous works that consider a single, deterministic break. Our Monte Carlo analysis reveals that testing cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of plausible regime shifts parameterizations.

Cointegration and the joint confirmation hypothesis

Gabriel, Vasco J.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em /10/2001 Português
Relevância na Pesquisa
37.25%
Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.

The properties of cointegration tests in models with structural change

Gabriel, Vasco J.; Martins, Luís F.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em /02/2000 Português
Relevância na Pesquisa
37.36%
In this paper we examine, by means of Monte Carlo simulation, the properties of several cointegration tests when long run parameters are subject to structural changes. We allow for different types of stochastic and deterministic regime shifts, more specifically, changes governed by Markov chains, martingale parameter variation, sudden multiple breaks and gradual changes. Our Monte Carlo analysis reveals that tests with cointegration as the null hypothesis perform badly, while tests with the null of no cointegration retain much of their usefulness in this context.

Integer and fractional cointegration of exchange rates : the Portuguese case

Gabriel, Vasco J.; Martins, Luís
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Trabalho em Andamento
Publicado em //1999 Português
Relevância na Pesquisa
37.54%
The purchasing power parity (PPP) hypothesis is examined by means of residual-based cointegration tests. A generalized concept of cointegration is used. that is, fractional cointegration. This method aims to be a complement of the Engle-Granger procedure, whose test for cointegration assumes that the equilibrium error is strictly I(1) (nonstationary) or I(0) (stationary). It is known and it will be shown in this work through Monte Carlo simulation, that the unit root tests turn out to perform poorly against long memory alternatives. To perform a test for fractional cointegration, empirical distributions are obtained through a Monte Carlo experiment. This means that the PPP hypothesis is not con…ned to the value of the fractional estimate. By allowing equilibrium errors to follow a fractional integrated process, the fractional cointegration analysis capture a wider range of stationary and level reversion behaviour. This ‡exibility is important to a proper evaluation of the exchange rate dynamics. Two bilateral relations are studied, between Portugal as the home country and the United Kingdom and the United States of America. We also consider the use of structural change tests, since a long range of time is covered by the data...

Cointegration and the joint confirmation hypothesis

Gabriel, Vasco J.
Fonte: Elsevier Science Publicador: Elsevier Science
Tipo: Artigo de Revista Científica
Publicado em /01/2003 Português
Relevância na Pesquisa
37.25%
In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.

Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship

Gabriel, Vasco J.; Martins, Luís F.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2010 Português
Relevância na Pesquisa
37.36%
We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock-price dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

A Multivariate Cointegration Analysis of the Role of Energy in the U.S. Macroeconomy

Stern, David I
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 77551 bytes; application/pdf
Português
Relevância na Pesquisa
37.49%
This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period to a cointegration analysis of that relationship. It is found that the majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroeconomic dynamics. The results are similar to my previous Granger Causality results and contradict claims in the literature (based on bivariate models) that there is no cointegration between energy and output.; no

Cointegration in Panel Data with Breaks and Cross-Section Dependence

BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep Lluis
Fonte: European University Institute Publicador: European University Institute
Tipo: Trabalho em Andamento Formato: 333946 bytes; application/pdf; digital
Português
Relevância na Pesquisa
37.36%
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power. Response surfaces to approximate the finite sample moments that are required to implement the statistics are provided. Since panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the common factor framework is carried out in order to allow for dependence among the units of the panel.

Testing for cointegration using induced-order statistics

Escribano, Álvaro; Santos, T.; Sipols, Ana E.
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
37.43%
In this paper we explore the usefulness of induced-order statistics in the characterization of integrated series and of cointegration relationships. We propose a non-parametric test statistic for testing the null hypothesis of two independent random walks against wide cointegrating alternatives including monotonic nonlinearities and certain types of level shifts in the cointegration relationship. We call our testing device the induced-order Kolmogorov?Smirnov cointegration test (KS), since it is constructed from the induced-order statistics of the series, and we derive its limiting distribution. This non-parametric statistic endows the test with a number of desirable properties: invariance to monotonic transformations of the series, and robustness for the presence of important parameter shifts. By Monte Carlo simulations we analyze the small sample properties of this test. Our simulation results show the robustness of the induced order cointegration test against departures from linear and constant parameter models.

Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests

Escribano, Álvaro; Sipols, Ana E.; Aparicio, Felipe M.
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em //2006 Português
Relevância na Pesquisa
37.36%
In this article we propose a record counting cointegration (RCC) test that is robust to nonlinearities and certain types of structural breaks. The RCC test is based on the synchronicity property of the jumps (new records) of cointegrated series, counting the number of jumps that simultaneously occur in both series. We obtain the rate of convergence of the RCC statistics under the null and alternative hypothesis. Since the asymptotic distribution of RCC under the null hypothesis of a unit root depends on the short-run dependence of the cointegrated series, we propose a small sample correction and show by Monte Carlo simulation techniques their excellent small sample behaviour. Finally, we apply our new cointegration test statistic to several financial and macroeconomic time series that have certain structural breaks and nonlinearities.

Nonlinear cointegration and nonlinear error correction

Escribano, Álvaro; Mira, Santiago
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /07/1996 Português
Relevância na Pesquisa
37.43%
The relationships between stochastic trending variables given by the concepts of cointegration and error correction (EC) are well characterized in a linear context, but the extension to a nonlinear context is still a challenge. Few extensions of the linear framework were developed in the context of linear cointegration but nonlinear error correction (NEC) models, and even in this context, there are still many open questions. The theoretical framework is not well developed at this moment and only particular cases have been discussed empirically. In this paper we propose a statistical framework that allow us to address those issues. First, we generalize the notion of integration to the nonlinear case. As a result a generalization of cointegration is feasible, and also a formal definition of NEC models. Within this framework we analyze the nonlinear least squares (NLS) estimation of nonlinear cointegration relations and the extension of the two-step estimation procedures of Engle and Granger (1987) for NEC models. Finally, we discuss a generalization of Granger Representation Theorem to the nonlinear case and discuss the properties of the onestep (NLS) procedure to estimate NEC models.

A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems

Avarucci, Marco; Velasco, Carlos
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
37.36%
This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decomposition of the unrestricted estimate of the long run multiplier matrix. When the "strength" of the cointegrating relationship is less than 1/2, the test statistic has a standard asymptotic distribution, like Lagrange Multiplier tests exploiting local properties. We consider the behavior of our test under estimation of short run parameters and local alternatives. We compare our procedure with other cointegration tests based on di erent principles and nd that the new method has better properties in a range of situations by using information on the alternative obtained through a preliminary estimate of the cointegration strength.

A model free cointegration approach for pairs of I(d) variables

Aparicio, Felipe M.; Arranz, Miguel A.; Escribano, Álvaro
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/octet-stream; application/octet-stream; application/pdf
Publicado em /07/2000 Português
Relevância na Pesquisa
37.43%
In this paper we propose several model free (non parametric) statistics to measure serial dependence that are useful to characterize the short and the long memory properties of series in the time and the frequency domain. Conditions on the joint memory properties of the series such as cointegration are introduced by means of these statistics. We show that the relationship between the non parametric concept of cointegration and the cross-covariance functions of the series, has a natural interpretation as an instrumental variable estimator. We show that its small sample behavior is better than the usual least squares estimator. Finally, from our characterization it is posibble to discriminate between fractional and integer cointegration

Cointegration testing using the ranges

Aparicio, Felipe M.; Escribano, Álvaro
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //1998 Português
Relevância na Pesquisa
37.43%
In this paper we propose a method for testing the hypothesis of cointegration in pairs of univariate time series. One of our method's main advantages lies in that it does not impose any restriction on the time series models. Another is that cointegration can be tested regardless of the form of the relationship. Essentially, our test rests on a definition of cointegration which requires the sinchronicity up to a constant delay of the relevant informational events for the series. Thus cointegration can bp tested independently on what form of relationship holds between the variables. We propose three alternative test statistics and obtain, under some assumptions,' their asymptotic null distribution. We also propose some graphical techniques consisting in plotting functions of the range sequences for the pairs of series. These plots could help in detecting nonlinearities as well as nonstationarities in the cointegrating relationship. Also we show how nonlinearity and/or nonstationadty' ill. the relationship can be detected by analyzing the cross-difference of ranges. We :Q,n ally report some experiments on financial and monetary time series that compare the performances of our test statistics with more standard ones.

Unit Roots and Cointegration in Panels

Breitung, Jorg; Pesaran, M. Hashem
Fonte: Universidade de Cambridge Publicador: Universidade de Cambridge
Formato: 366305 bytes; application/pdf; application/pdf
Português
Relevância na Pesquisa
37.36%
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.

I(0) in, integration and cointegration out: Time series properties of endogenous growth models

Lau, Sau-him (Paul)
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.36%
To complement empirical growth studies applying unit root and cointegration methods, this paper shows that integration and cointegration properties arise intrinsically in stochastic endogenous growth models under fairly general conditions. It shows that a unit root has to be present in the autoregressive polynomial of the variables generated by an endogenous growth model, so as to produce steady-state growth in the absence of exogenous growth-generating element. This endogenous-growth-generating mechanism induces difference stationarity of the variables even though the external impulses are stationary, and it leads to the phenomenon of cointegration if the variables satisfy a state space representation. The 'unit root propagation mechanism' is the time series analogue of the 'constant returns' (to reproducible inputs) condition in the theoretical endogenous growth literature. The time series properties of endogenous growth models, when combined with their counterparts for exogenous growth models, lead to testable implications for distinguishing between these two classes of models.

Ohlson model by panel cointegration with Mexican data

Lorenzo Valdés,Arturo; Durán Vázquez,Rocío
Fonte: Facultad de Contaduría y Administración, UNAM Publicador: Facultad de Contaduría y Administración, UNAM
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/12/2010 Português
Relevância na Pesquisa
37.43%
In this study we use cointegration methods to investigate the relationship between the variables of the Ohlson model (stock price, earnings per share and book value) with panel data. The cointegration tests were applied at individual and group level (by all firms, and by sectors). The firms studied are from the Food & Beverage, Commercial and Construction economical sectors of the public companies listed on the Mexican Exchange Market. The data used was on a quarterly basis from 1997 to 2008. The empirical results, based on Johansen test, indicate that there are some individual cointegration relationships. The panel cointegration test show that the variables in the Ohlson model are not cointegrated for the Construction sector, although they are for the Commercial and Food & Beverage sectors.