Trenkler, Carsten and Weber, Enzo (2010) Testing for Codependence of Non-Stationary Variables. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 446, Working Paper.
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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, ...
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| Item type: | Monograph (Working Paper) | ||||||
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| 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 | ||||||
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| Keywords: | Serial correlation common features, codependence, cointegration, overnight interest rates, central banks | ||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||
| Status: | Published | ||||||
| Refereed: | No, this document will not be refereed | ||||||
| Created at the University of Regensburg: | Partially | ||||||
| Item ID: | 16478 |
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