Testing for codependence of cointegrated variables

Autor:	Enzo Weber, Carsten Trenkler
Rok vydání:	2013
Předmět:	Economics and Econometrics Money market Cointegration media_common.quotation_subject Autocorrelation Interest rate Error correction model Moving average Likelihood-ratio test Statistics Econometrics Economics media_common Generalized method of moments
Zdroj:	Applied Economics. 45:1953-1964
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036846.2011.641931
Popis:	We analyse nonstationary 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 the Moving Average (MA) and Vector Error Correction Model (VECM) representations and put forward a Generalized Method of Moments (GMM) test. In addition, for cases where the constraints can be uniquely imposed on a VECM a likelihood ratio test is proposed. We apply the concept to US and European interest rate data, examining the capability of the Federal Reserve Bank (Fed) and European Central Bank (ECB) to control overnight money market rates.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8ebbc88409da60b8f3e8e5fbbb683cd2 https://doi.org/10.1080/00036846.2011.641931 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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