| Download ( PDF | 313kB) |
Codependence and Cointegration
Monograph
Trenkler, Carsten and Weber, Enzo (2009) Codependence and Cointegration. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 437, Discussion Paper.DOI to cite this document: 10.5283/epub.9852
Abstract
We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common ...
We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but
adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common feature are checked by LR and GMM-type tests. Alongside, we provide corrected maximum codependence orders and discuss identification. The concept is applied to US and European interest rate data, examining the capability of the Fed and ECB to control overnight money market rates.
Alternative links to fulltext
Involved Institutions
Details
| Item type | Monograph (Discussion Paper) | ||||||
| Series of the University of Regensburg | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||||
| Volume | 437 | ||||||
| Date | 21 October 2009 | ||||||
| Date of publication | 21 Oct 2009 14:01 | ||||||
| Institutions | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||||
| Interdisciplinary Subject Network | Immobilien- und Kapitalmärkte | ||||||
| Identification Number |
| ||||||
| Classification |
| ||||||
| Keywords | VAR, serial correlation common features, codependence, cointegration | ||||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||||
| Status | Published | ||||||
| Refereed | No, this document will not be refereed | ||||||
| Created at the University of Regensburg | Yes | ||||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-98527 | ||||||
| Item ID | 9852 |
Download Statistics
Download Statistics