Warianty tytułu
Języki publikacji
Abstrakty
The idea of the research is based on an analysis of common stochastic trends existing among the analysed time series. In the case of cointegration this means that within a system consisting of p nonstationary series, there exist r cointegrating relations, which connect p variables by linear dependence, but the nonstationary character of variables is caused by the existing rp- common stochastic trends. Having assumed that we do have a case of cointegration, the estimated vector can be treated as an attractor, which illustrates economic dependence amongst time series under study.(fragment of text)
Twórcy
autor
- Nicolaus Copernicus University in Toruń, Poland
autor
- Nicolaus Copernicus University in Toruń, Poland
Bibliografia
- Cheung, Y.-W., Lai, K. S. (1993), Finite-sample sizes of Johansen's likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics, 55, pp. 313-328.
- Doornik, J. A., Hendry, D. F., Nielsen, B. (1998), Inference in Cointegrated Models: UK M1 Revisited, Journal of Economic Surveys.
- Doornik, J. A. (1998), Approximations to the Asymptotic Distribution of Cointegration Tests, Journal of Economic Surveys, 12, pp. 573-593.
- Doornik, J. A. (1999), Object-Oriented Matrix Programming Using Ox, 3rd ed. London: Timberlake Consultants Press and Oxford: www.nuff.ox.ac.uk/Users/Doornik.
- Engsted, T., Lund, J. (1997), Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegrating vectors, Applied Financial Economics, 7 (6), pp. 659-665.
- Granger, C. W. J., Konishi, T. (1993), Separation in cointegrating systems, Discussion Paper, University of California, San Diego.
- Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press.
- Hansen, P., Johansen, S. (1998), Workbook on Cointegration, Oxford University Press.
- Harris, R.I.D. (1995), Cointegration Analysis in Econometric Modelling, Prentice Hall.
- Jeon, B. N., Chian, T. C. (1991), A system of stock prices in World stock exchanges: common stochastic trends for 1975-1990?, Journal of Economics and Business, 43 (4), pp. 329-338.
- Johansen, S. (1992), Determination of cointergation rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54, pp. 383-97.
- Johansen, S. (1998), Likelihood-based inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
- Johansen, S. (1988), Statistical Analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, pp. 231-254.
- Kasa, K. (1992), Common stochastic trends in international stock markets, Journal of Monetary Economics, 29 (1), pp. 95-124.
- Toda, H. Y., Phillips, P. C. B. (1993), Vector Autoregressions and Causality, Econometrica, 61, pp. 1367-1393.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171298379