Relevant bibliographies by topics / Cointegrated VAR

Academic literature on the topic 'Cointegrated VAR'

Author: Grafiati
Published: 4 June 2021
Last updated: 13 February 2022

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Journal articles on the topic "Cointegrated VAR"

1

Warne, Anders. "Inference in Cointegrated VAR Systems." Review of Economics and Statistics 79, no. 3 (August 1997): 508–11. http://dx.doi.org/10.1162/003465300556922.

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2

Juselius, Katarina. "HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR." Econometric Theory 31, no. 2 (July 8, 2014): 213–32. http://dx.doi.org/10.1017/s0266466614000279.

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Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for a solution to the above problems.
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Engsted, Tom. "Explosive bubbles in the cointegrated VAR model." Finance Research Letters 3, no. 2 (June 2006): 154–62. http://dx.doi.org/10.1016/j.frl.2006.03.004.

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Saikkonen, Pentti, and HELMUT Lütkepohl. "Infinite-Order Cointegrated Vector Autoregressive Processes." Econometric Theory 12, no. 5 (December 1996): 814–44. http://dx.doi.org/10.1017/s0266466600007179.

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Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, Econometric Theory 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector autoregressive (VAR) representations are derived under the assumption that the autoregressive order goes to infinity with the sample size. These coefficients are often used for analyzing the relationships between the variables; therefore, they are important for applied work. Tests for linear restrictions on the coefficients of both the ECM and the pure VAR representation are considered under the present assumptions. It is found that they have limiting x2 distributions. Tests are also derived under the assumption that the number of restrictions goes to infinity with the sample size.
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Johansen, Søren, and Morten Ørregaard Nielsen. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model." Journal of Time Series Analysis 40, no. 4 (December 2, 2018): 519–43. http://dx.doi.org/10.1111/jtsa.12438.

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Dolado, Juan J., and Helmut Lütkepohl. "Making wald tests work for cointegrated VAR systems." Econometric Reviews 15, no. 4 (January 1996): 369–86. http://dx.doi.org/10.1080/07474939608800362.

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7

SACHDEVA, J. K., and Jyoti Nair. "Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses." Journal of Global Economy 14, no. 1 (November 8, 2018): 3–27. http://dx.doi.org/10.1956/jge.v14i1.490.

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With huge investments flowing from all over the world to India, FIIs (Foreign Institutional Investors) and DIIs (Domestic Institutional Investors), retail investors, investment advisors, brokers and portfolio consultants keep abreast with latest research on fundamentals and technicals. Interdependence between stock markets is an important aspect of international portfolio management. In this paper, impact of Asian Indices like Hang Sang, KOSPI, SET SIT and TSEC on opening prices of Indian index Nifty was studied with various tools like Johansen Cointegration Test, VAR Granger Causality and Pairwise Granger Causality test. Similarly impact of European indices like CAC, FTSE, Euronext, DAX and SMI on Nifty closing prices were studied with same tools. The 3 months, 6 months, one year and 5 year data were subjected to experiment whether series are cointegrated. It was observed that series are cointegrated at very short-term level but for longer period they are not cointegrated, however, they influence others. VAR Granger Causality Test and Pairwise Granger Causality reveal that Hang Sang, KOSPI, SIT and TW (TSEC of Taiwan) impact Nifty Open prices. Nifty influences only TW. KOSPI influences Hang Sang and SET. SET influences KOSPI and TW. Similarly, VAR Granger Causality Test and Pairwise Granger Causality also reveal Nifty closing prices influence CAC, DAX, FTSE
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Hansen, Henrik, and Søren Johansen. "Some tests for parameter constancy in cointegrated VAR‐models." Econometrics Journal 2, no. 2 (December 1, 1999): 306–33. http://dx.doi.org/10.1111/1368-423x.00035.

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Pétursson, Thórarinn G., and Torsten Sløk. "Wage formation and employment in a cointegrated VAR model." Econometrics Journal 4, no. 2 (December 1, 2001): 191–209. http://dx.doi.org/10.1111/1368-423x.00062.

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10

Camarero, M., J. Ordónez, and C. R. Tamarit. "Monetary transmission in Spain: a structural cointegrated VAR approach." Applied Economics 34, no. 17 (November 2002): 2201–12. http://dx.doi.org/10.1080/00036840210138419.

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Dissertations / Theses on the topic "Cointegrated VAR"

1

Canepa, Alessandra. "Bootstrap inference in cointegrated VAR models." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268384.

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Zhang, Yanqun. "Cointegrated VAR model and China's monetary policy : 1979-2004 /." Aachen : Shaker, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015707954&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Singh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis." Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.

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Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabilisation tool, did not have a positive effect on real Gross Domestic Product (GDP) growth in the short term. Effects on GDP growth were positive over the long term but not statistically significant. Furthermore, expansionary fiscal policy caused inflationary pressures. Fiji has a fixed exchange rate regime, therefore, it was expected that the focus of monetary policy would be the maintenance of foreign reserves. It was, however, found that monetary expansion in the short term resulted in positive effects on real GDP growth and resulted in inflation. The long term effects of monetary policy on real GDP growth were negative, which are explained by the fixed exchange rate regime, endogenous determination of money supply by the central bank, an unsophisticated financial market and, perhaps, an incomplete transmission of the policy. Both merchandise trade and visitor arrivals growth were found to positively contribute to short term and long term economic growth. Political instability was found not to have significant direct effects on real GDP growth but caused a significant decline in visitor arrivals which then negatively affected economic growth in the short term.
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Zhang, Yanqun [Verfasser]. "Cointegrated VAR Model and China's Monetary Policy: 1979-2004 / Yanqun Zhang." Aachen : Shaker, 2007. http://d-nb.info/1166509311/34.

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5

Boca, Saravia Alexander Antonio. "Presidential approval in Peru : an empirical analysis using a fractionally cointegrated VAR." Bachelor's thesis, Pontificia Universidad Católica del Perú, 2019. http://hdl.handle.net/20.500.12404/15294.

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Kim, Hae-min. "Empirical study of new Keynesian model using cointegrated VAR : what New Zealand data tell us." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/54656.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Economics, 2009.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 27-28).
Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This project closely follow the approach taken by Mikael Juselius (2008) and extends the analysis to the New Zealand data. The findings from the thesis lend support to Juselius' conclusions but in a limited way. The results from this thesis question the robustness of his claims based on US data supporting inexact rational expectations models.
by Hae-min Kim.
S.M.
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7

Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.

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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos similares, é permitido ao vetor de cointegração variar suave ou abruptamente, dependendo da família de ondaletas considerada. Experimentos de Monte Carlo foram utilizados para estudar os quantis e o poder do teste de razão de verossimilhanças entre as hipóteses de cointegração usual e a de cointegração variando com o tempo. Os experimentos sugerem que o teste possui poder contra alternativas que variam ao longo do tempo. Foi demonstrada a capacidade do modelo em lidar satisfatoriamente com séries cointegradas simuladas, que apresentavam mudança de regime para o vetor de cointegração. O modelo foi empregado ainda para testar a validade da hipótese de paridade de poder de compra entre Estados Unidos e doze países da Organização para Cooperação e Desenvolvimento Econômico (OECD): Canadá, Japão e mais dez países europeus. Assim como em trabalhos similares, foram verificadas evidências de cointegração variando com o tempo entre os países. Foram utilizados valores-p bootstrap para verificar a significância da estatística do teste.
Two or more non-stationary time series are cointegrated if there is a long-run equilibrium relationship between them. In recent decades, interest in the literature on the subject of cointegration increased expressively. Traditional models that address this issue assume that the cointegration vector does not vary over time. However, there is evidence in the literature that this assumption can be considered very restrictive. Using the concept of wavelets, we propose a vector error correction model in which is allowed to the cointegration vector vary over time. Unlike similar works, the cointegration vector is allowed to vary smoothly or abruptly, depending on the considered family of wavelets. Monte Carlo experiments were used to study the quantiles and the power of the likelihood ratio test of the hypotheses of usual cointegration versus the time-varying cointegration. The experiments suggest that the test has power against alternatives that vary over time. It was demonstrated the ability of the model to deal satisfactorily with simulated cointegrated series, which presented regime change for the cointegration vector. The model was also used to test the validity of the Purchasing Power Parity hypothesis between United States and twelve countries of the Organization for Economic Cooperation and Development (OECD): Canada, Japan and ten other European countries. As in similar works, evidence of time-varying cointegration was verified among countries. Bootstrap p-values were used to verify the significance of the likelihood ratio of the test.
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Books on the topic "Cointegrated VAR"

1

Warne, Anders. Inference in cointegrated VAR systems. Stockholm: Stockholm University, Institute for International Economic Studies, 1993.

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2

The cointegrated VAR model: Methodology and applications. Oxford: Oxford University Press, 2006.

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3

MONEY, STOCK PRICES AND CENTRAL BANKS: A COINTEGRATED VAR ANALYSIS. SPRINGER, 2011.

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4

Wiedmann, Marcel. Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Physica, 2011.

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5

Juselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.

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6

Juselius, Katarina. The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics). Oxford University Press, USA, 2007.

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Book chapters on the topic "Cointegrated VAR"

1

Brüggemann, Ralf. "Model Reduction in Cointegrated VAR Models." In Lecture Notes in Economics and Mathematical Systems, 59–104. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17029-4_3.

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2

Kammerdiner, Alla R., and Panos M. Pardalos. "Analysis of Multichannel EEG Recordings Based on Generalized Phase Synchronization and Cointegrated VAR." In Computational Neuroscience, 317–39. New York, NY: Springer New York, 2010. http://dx.doi.org/10.1007/978-0-387-88630-5_18.

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3

Martin, Bernhard, and Svetlozar T. Rachev. "A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility." In Modeling and Control of Economic Systems 2001, 207–12. Elsevier, 2003. http://dx.doi.org/10.1016/b978-008043858-0/50036-x.

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4

"Testing the fiscal theory of the price level for European countries: A cointegrated VAR approach." In Macroeconomic Policy in the European Monetary Union, 141–58. Routledge, 2007. http://dx.doi.org/10.4324/9780203934531-14.

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