Heteroskedastic Cointegration

• Autorzy: Joanna Górka , Joanna Stempińska
• Języki publikacji: EN

Abstrakty

EN

Modelling the economic processes using the cointegration is useful, because essential connections between nonstationary time series can be found. Hansen's work on the heteroskedastic cointegration showed that the statistical theory developed for the standard cointegration model can also be applied in the case of a wider class of models. In a standard cointegration model the regressor differs stochastically from residuals in two aspects: (1) the variance of regressors grows linearly in time, (2) the regressors have stochastic trend. In the hetroskedastic cointegration model, the regressors differ stochastically from residuals only with respect to the properties of the trend. The HCI model allows to find the long run equilibrium between series with various changeability, with the variance growing in time and not necessarily, with the same properties of the trend function.(fragment of text)

Słowa kluczowe

EN

Economic process modeling; Cointegration; Econometric models; GARCH model

PL

Modelowanie procesów gospodarczych; Kointegracja; Modele ekonometryczne; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 213--220

Twórcy

autor

Joanna Górka

• Nicolaus Copernicus University in Toruń, Poland

autor

Joanna Stempińska

• University of Warmia and Mazury in Olsztyn, Poland

Bibliografia

• Bruzda, J. (2003), Procesy bi-linearne i GARCH w modelowaniu finansowych szeregów czasowych (Bilinear and GARCH Processes in Modeling of Financial Time Series), Przegląd Statystyczny (Statistical Survey), 2.
• Bera, A. K., Higgins, M. L. (1993), ARCH Models: Properties, Estimation and Testing, Journal of Economic Surveys, 7, 305-366.
• Charemza, W. W., Deadman, D. F. (1997), Nowa ekonometria (New Directions in Econometric Practice), PWE Warszawa.
• Engle, R. F., Granger, C. W. J. (1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, vol. 55, 251-276.
• Hansen, B. E. (1992), Heteroskedastic cointegration, Journal of Econometrics, 54, 139-158.
• Hyżyk, S., Osińska, M. (2000), Zmienność wariancji warunkowej w modelowaniu i prognozowaniu kursów walutowych (Variability of conditional variance in the modeling and forecasting of exchange rates), AUNC, XXX, UMK, Toruń.
• Maddala, G. S., Kim, In-Moo. (2002), Unit Roots, Cointegration, and Structural Change, Cambridge.
• Syczewska, E. M. (1999), Analiza relacji dlugookresowych: estymacja i weryfikacja (Analysis of the long run relations: estimation and verification), SGH, Warszawa.
• Welfe, A. (1998), Ekonometria (Econometrics), PWE, Warszawa.