Schlagwort: Cointegration
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Asymmetric Error Correction Models - some Comments and Improvements
In this essay the method to estimate asymmetric relations with error correction models by splitting the error correction term u[t-1] in [+] u[t-1] and [-] u[t-1] , proposed by Granger and Lee (1989), (...)
The Power of the KPSS?Test for Cointegration when Residuals are Fractionally Integrated
We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather (...)