Testing for Codependence of Non-Stationary Variables

URN to cite this document:: urn:nbn:de:bvb:355-epub-164783
DOI to cite this document:: 10.5283/epub.16478

Trenkler, Carsten ; Weber, Enzo

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Date of publication of this fulltext: 16 Sep 2010 07:53

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Abstract

We analyze non-stationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed adjustment. We show which restrictions are implied for VECMs and lay out a likelihood ratio test. In addition, ...