Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lluis Carrion-i-Silvestre, Josep | - |
dc.contributor.author | Kim, Dukpa | - |
dc.date.accessioned | 2021-09-01T06:15:02Z | - |
dc.date.available | 2021-09-01T06:15:02Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2019-09-14 | - |
dc.identifier.issn | 0747-4938 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/62878 | - |
dc.description.abstract | We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the nonstationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both stochastic trends and breaks in linear trends are simultaneously removed and thus whether cointegration and cobreaking simultaneously hold. The third test can determine whether not only breaks in linear trends but also linear trends themselves are eliminated along with stochastic trends and thus whether both cointegration and cotrending hold. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | TAYLOR & FRANCIS INC | - |
dc.subject | US DEFICIT SUSTAINABILITY | - |
dc.subject | RESIDUAL-BASED TESTS | - |
dc.subject | OIL-PRICE SHOCK | - |
dc.subject | UNIT-ROOT | - |
dc.subject | NULL HYPOTHESIS | - |
dc.subject | PARAMETER INSTABILITY | - |
dc.subject | POSSIBLE BREAK | - |
dc.subject | GREAT CRASH | - |
dc.subject | LEVEL SHIFT | - |
dc.subject | TREND | - |
dc.title | Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dukpa | - |
dc.identifier.doi | 10.1080/07474938.2018.1528416 | - |
dc.identifier.scopusid | 2-s2.0-85060350901 | - |
dc.identifier.wosid | 000472068200002 | - |
dc.identifier.bibliographicCitation | ECONOMETRIC REVIEWS, v.38, no.8, pp.881 - 898 | - |
dc.relation.isPartOf | ECONOMETRIC REVIEWS | - |
dc.citation.title | ECONOMETRIC REVIEWS | - |
dc.citation.volume | 38 | - |
dc.citation.number | 8 | - |
dc.citation.startPage | 881 | - |
dc.citation.endPage | 898 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | US DEFICIT SUSTAINABILITY | - |
dc.subject.keywordPlus | RESIDUAL-BASED TESTS | - |
dc.subject.keywordPlus | OIL-PRICE SHOCK | - |
dc.subject.keywordPlus | UNIT-ROOT | - |
dc.subject.keywordPlus | NULL HYPOTHESIS | - |
dc.subject.keywordPlus | PARAMETER INSTABILITY | - |
dc.subject.keywordPlus | POSSIBLE BREAK | - |
dc.subject.keywordPlus | GREAT CRASH | - |
dc.subject.keywordPlus | LEVEL SHIFT | - |
dc.subject.keywordPlus | TREND | - |
dc.subject.keywordAuthor | Cobreaking | - |
dc.subject.keywordAuthor | cointegration | - |
dc.subject.keywordAuthor | cotrending | - |
dc.subject.keywordAuthor | multiple structural breaks | - |
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