Cointegration

Betriebswirtschaftslehre

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]...

Details →
Statistik/Ökonometrie

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...

Details →