Arbeitspapier
Monitoring cointegrating polynomial regressions: Theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions
This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i. e. , regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and the stationary errors are allowed to be serially correlated. We consider five variants of monitoring statistics and develop the results for three modified least squares estimators for the parameters of the CPRs. The simulations show that using the combination of self-normalization and a moving window leads to the best performance. We use the developed monitoring statistics to assess the structural stability of environmental Kuznets curves (EKCs) for both CO2 and SO2 emissions for twelve industrialized country since the first oil price shock.
- Sprache
-
Englisch
- Erschienen in
-
Series: IHS Working Paper ; No. 27
- Klassifikation
-
Wirtschaft
- Thema
-
Cointegrating Polynomial Regression
Environmental Kuznets Curve
Monitoring
Structural Change
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knorre, Fabian
Wagner, Martin
Grupe, Maximilian
- Ereignis
-
Veröffentlichung
- (wer)
-
Institut für Höhere Studien - Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Knorre, Fabian
- Wagner, Martin
- Grupe, Maximilian
- Institut für Höhere Studien - Institute for Advanced Studies (IHS)
Entstanden
- 2020
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