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Testing for Codependence of Non-Stationary Variables

Trenkler, Carsten and Weber, Enzo (2010) Testing for Codependence of Non-Stationary Variables. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 446, Working Paper.

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

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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, ...


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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:15 September 2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
RePEc:bay:rdwiwi:16478RePEc Handle
C32Journal of Economics Literature Classification
E52Journal of Economics Literature Classification
Keywords:Serial correlation common features, codependence, cointegration, overnight interest rates, central banks
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Partially
Item ID:16478
Owner only: item control page


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