Monitoring Stationarity and Cointegration

Konferenzbeitrag

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. The procedure is inspired by Chu et al. (1996) in that it is based on parameter estimation only on a pre-break ``calibration'' period rather than being based on sequential estimation over the full sample. We investigate the asymptotic behavior of the procedures under the null, for (fixed and local) alternatives and in case of parameter changes. We also study the finite sample performance via simulations. An application to credit default swap spreads illustrates the potential usefulness of the procedure.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Time Series Analysis ; No. C16-V4

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Evaluation, Validation, and Selection

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Wagner, Martin ; Wied, Dominik
• Ereignis: Veröffentlichung
• (wer): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (wo): Kiel und Hamburg
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/100386
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ