du.sePublikationer
Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • chicago-author-date
  • chicago-note-bibliography
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Testing linear cointegration against smooth-transition cointegration
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
2011 (Engelska)Rapport (Övrigt vetenskapligt)
Abstract [en]

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system. It nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointegration studied by Balke and Fomby (1997). We develop F-type tests to examine linear cointegration against ST cointegration in ST-type cointegrating regression models with or without time trends. The null asymptotic distributions of the tests are derived with stationary transition variables in ST cointegrating regression models. And it is shown that our tests have nonstandard limiting distributions expressed in terms of standard Brownian motion when regressors are pure random walks, while have standard asymptotic distributions when regressors contain random walks with nonzero drift. Finite-sample distributions of those tests are studied by Monto Carlo simulations. The small-sample performance of the tests states that our F-type tests have a better power when the system contains ST cointegration than when the system is linearly cointegrated. An empirical example for the purchasing power parity (PPP) data (monthly US dollar, Italy lira and dollar-lira exchange rate from 1973:01 to 1989:10) is illustrated by applying the testing procedures in this paper. It is found that there is no linear cointegration in the system, but there exits the ST-type cointegration in the PPP data.

Ort, förlag, år, upplaga, sidor
Borlänge: Högskolan Dalarna , 2011.
Serie
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 2011:01
Nyckelord [en]
cointegration; smooth transition; F-type test; purchasing power parity.
Nationell ämneskategori
Sannolikhetsteori och statistik
Forskningsämne
Komplexa system - mikrodataanalys, Nonlinear Cointegration i Nonlinear Vector autoregressive modeller: teori och tillämpningar
Identifikatorer
URN: urn:nbn:se:du-6042OAI: oai:dalea.du.se:6042DiVA, id: diva2:520481
Tillgänglig från: 2011-11-04 Skapad: 2011-11-04 Senast uppdaterad: 2013-11-12Bibliografiskt granskad
Ingår i avhandling
1. Common Features in Vector Nonlinear Time Series Models
Öppna denna publikation i ny flik eller fönster >>Common Features in Vector Nonlinear Time Series Models
2013 (Engelska)Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
Abstract [en]

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area.

Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified.

The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

Ort, förlag, år, upplaga, sidor
Öerbro: Örebro University, 2013
Serie
Örebro Studies in Statistics, ISSN 1651-8608 ; 6
Nyckelord
Nonlinearity, Time series, Econometrics, Smooth transition, Common features, Cointegration, Forecasting, Residual-based, PPP.
Nationell ämneskategori
Sannolikhetsteori och statistik
Forskningsämne
Komplexa system - mikrodataanalys
Identifikatorer
urn:nbn:se:du-13253 (URN)978-91-7668-952-3 (ISBN)
Disputation
2013-10-01, Långhuset HSL 3, Örebro University, Örebro, 13:15 (Engelska)
Opponent
Handledare
Tillgänglig från: 2013-11-11 Skapad: 2013-11-11 Senast uppdaterad: 2015-03-18Bibliografiskt granskad

Open Access i DiVA

fulltext(318 kB)159 nedladdningar
Filinformation
Filnamn FULLTEXT04.pdfFilstorlek 318 kBChecksumma SHA-512
7a413f440a7887e0291051238c796e3640f5398d9326d3be8677fd723b6dd6aa35ba319a8c4cb53c2a2e351646dae48888e761819da3fc3e187974c040a91b4d
Typ fulltextMimetyp application/pdf

Sök vidare i DiVA

Av författaren/redaktören
Li, Dao
Av organisationen
Statistik
Sannolikhetsteori och statistik

Sök vidare utanför DiVA

GoogleGoogle Scholar
Totalt: 254 nedladdningar
Antalet nedladdningar är summan av nedladdningar för alla fulltexter. Det kan inkludera t.ex tidigare versioner som nu inte längre är tillgängliga.

urn-nbn

Altmetricpoäng

urn-nbn
Totalt: 1847 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • chicago-author-date
  • chicago-note-bibliography
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf