• Title, Summary, Keyword: Cointegration

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A Feasible Two-Step Estimator for Seasonal Cointegration

  • Seong, Byeong-Chan
    • Communications for Statistical Applications and Methods
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    • v.15 no.3
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    • pp.411-420
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    • 2008
  • This paper considers a feasible two-step estimator for seasonal cointegration as the extension of $Br{\ddot{u}}ggeman$ and $L{\ddot{u}}tkepohl$ (2005). It is shown that the reducedrank maximum likelihood(ML) estimator for seasonal cointegration can still produce occasional outliers as that for non-seasonal cointegration even though the sizes of them are not extreme as those in non-seasonal cointegration. The ML estimator(MLE) is compared with the two-step estimator in a small Monte Carlo simulation study and we find that the two-step estimator can be an attractive alternative to the MLE, especially, in a small sample.

Seasonal Cointegration Rank Tests for Daily Data

  • Song, Dae-Gun;Park, Suk-Kyung;Cho, Sin-Sup
    • Journal of the Korean Data and Information Science Society
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    • v.16 no.3
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    • pp.695-703
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    • 2005
  • This paper extends the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. The finite sample distribution of the associated rank test for dally data is also presented.

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Technology Innovation, Human Capital and R&D Effects on Economic Growth

  • Lim, Woo-Ri;Yi, Chae-Deug
    • International Area Studies Review
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    • v.21 no.1
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    • pp.201-219
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    • 2017
  • This paper analyzes the economic effects of the S&T Innovation, R&D, human resources and investment on the economic growth using 18 countries. We have obtained the somewhat mixed results on the existence of unit root roots in variables. While most of Pedroni cointegration tests show that there are no panel cointegration among the variables, Kao cointegration test shows that there is the panel cointegration among the variables such as GDP, human capital, R&D investment and patent. Kao cointegration test result shows that human capital, R&D investment, patent economic growth seem to have the panel cointegration or the long-run relationship among them as a whole. The estimation results of individual OLS and panel estimation show that the human capital, R&D investment and technology innovation or patent had positively significant effects on economic growth or GDP.

Time-varying Cointegration Models and Exchange Rate Predictability in Korea

  • PARK, SOOKYUNG;PARK, CHEOLBEOM
    • KDI Journal of Economic Policy
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    • v.37 no.4
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    • pp.1-20
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    • 2015
  • We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run.

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Sign IV Cointegration Tests

  • Oh, Yu-Jin
    • Communications for Statistical Applications and Methods
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    • v.16 no.4
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    • pp.707-711
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    • 2009
  • We propose new cointegration tests using signs of the regressors as instrumental variable. Our tests have the asymptotic standard normal distribution and are free from the dimension of regressors under the null hypothesis of no cointegration. A Monte-Carlo simulation shows that the proposed tests have a stable size and an improved power. Particulary, the tests have better power for small numbers of observations.

Seasonal cointegration for daily data

  • Song, Dae-Gun;Cho, Sin-Sup;Park, Suk-Kyung
    • Proceedings of the Korean Statistical Society Conference
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    • pp.13-15
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    • 2005
  • In this paper, we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. We presented the finite sample distribution of the associated rank test statistics for daily data.

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IV ECM Threshold Cointegration Tests and Nonlinear Monetary Policy in Korea (분계점 공적분 검정법을 사용한 한국의 비선형 테일러 통화정책 검증)

  • Enders, Walter;Lee, Junsoo;Strazicich, Mark C.
    • KDI Journal of Economic Policy
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    • v.29 no.2
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    • pp.135-157
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    • 2007
  • The goal of this paper is to examine the validity of nonlinear Taylor rules in Korea. To perform our tests, we utilize new IV ECM threshold cointegration tests that are invariant to nuisance parameters. The new tests have a standard chi-square distribution and the same critical values can be used throughout. This is in contrast to OLS ECM threshold cointegration tests, which depend on nuisance parameters and have nonstandard distributions. After finding significant support for nonlinear cointegration, we find that the Bank of Korea raises the call rate of interest only when inflation is above a threshold rate. We additionally find that the Bank of Korea increases the call rate of interest to possibly counter domestic currency deprecation only when the rate of currency deprecation exceeds a threshold.

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Estimating China Long-run Energy Demand Functions with Cointegration Approaches (중국의 중장기 에너지 수요함수 추정 및 비교분석)

  • Jung, Sukwan;Yang, Yu;Won, DooHwan
    • International Area Studies Review
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    • v.20 no.3
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    • pp.3-22
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    • 2016
  • This paper uses Dynamic OLS(DOLS) approach to estimate the long-run energy demand functions. The results are compared with those of standard cointegration approach. Cointegration tests verify that there is a cointegration among energy consumption, real GDP, and energy price in China. Johansen approach and DOLS approach are more appropriate to estimate for the long-run energy demand function than Engle-Granger Cointegration approach. DOLS provided significant negative sign of price while Engle-Granger did not. Based on the DOLS results, the elasticities of real GDP and energy price on energy consumption are 0.83 and -0.45 respectively, and their statistical significances are high.

Testing for Nonlinear Threshold Cointegration in the Monetary Model of Exchange Rates with a Century of Data (화폐모형에 의한 환율 결정 이론의 비선형 문턱 공적분 검정: 100년간 자료를 중심으로)

  • Lee, Junsoo;Strazicich, Mark C.
    • KDI Journal of Economic Policy
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    • v.31 no.2
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    • pp.1-13
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    • 2009
  • The monetary model suggests that nominal exchange rates between two countries will be determined by important macroeconomic variables. The existence of a cointegrating relationship among these fundamental variables is the backbone of the monetary model. In a recent paper, Rapach and Wohar (2002, Journal of International Economics) advance the literature by testing for linear cointegration in the monetary model using a century of data to increase power. They find evidence of cointegration in five or six of ten countries. We extend their work to the nonlinear framework by performing threshold cointegration tests that allow for asymmetric adjustments in two regimes. Asymmetric adjustments in exchange rates can occur, for example, if transactions costs are present or if policy makers react asymmetrically to changing fundamentals. Moreover, whereas Rapach and Wohar (2002) found it necessary to exclude the relative output variable in some cases to maintain the validity of their cointegration tests, we can include this variable as a stationary covariate to increase power. Overall, using their same long-span data, we find more support for cointegration in a nonlinear framework.

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Tests for Seasonal Cointegrating Vectors

  • Seong, Byeong-C.;Cho, Sin-S.;Ahn, Sung-K.
    • Proceedings of the Korean Statistical Society Conference
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    • pp.275-279
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    • 2003
  • We obtain the asymptotic distributions of tests statistics for various types of seasonal cointegration based on GRR estimators of Ahn and Cho (2003). These tests are useful in testing for restrictions about cointegrating vectors after Chi-square tests for CCI and common PCIV in Ahn and Cho (2003) or tests for the known CCI and the known PCIVs have been performed.

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