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Article: Some results on cointegration with random coefficients in the error correction form: Estimation and testing
Title | Some results on cointegration with random coefficients in the error correction form: Estimation and testing |
---|---|
Authors | |
Keywords | Brownian motion Cointegration Random coefficients Score-based test |
Issue Date | 2004 |
Publisher | Blackwell Publishing Ltd. |
Citation | Journal Of Time Series Analysis, 2004, v. 25 n. 3, p. 419-441 How to Cite? |
Abstract | This study considers a time-series model with random coefficients in cointegration. The estimation problem can be solved by maximizing the log-likelihood. Asymptotic distributions of the least squares and maximum likelihood estimates are considered. The randomness of the cointegration vector is checked by a score-based test approach. The test statistic converges asymptotically to a functional of Brownian processes. An empirical application to two cointegrated series, federal fund rate and 90-day treasury bill rate is considered. |
Persistent Identifier | http://hdl.handle.net/10722/82904 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.875 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fong, PW | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:34:43Z | - |
dc.date.available | 2010-09-06T08:34:43Z | - |
dc.date.issued | 2004 | en_HK |
dc.identifier.citation | Journal Of Time Series Analysis, 2004, v. 25 n. 3, p. 419-441 | en_HK |
dc.identifier.issn | 0143-9782 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82904 | - |
dc.description.abstract | This study considers a time-series model with random coefficients in cointegration. The estimation problem can be solved by maximizing the log-likelihood. Asymptotic distributions of the least squares and maximum likelihood estimates are considered. The randomness of the cointegration vector is checked by a score-based test approach. The test statistic converges asymptotically to a functional of Brownian processes. An empirical application to two cointegrated series, federal fund rate and 90-day treasury bill rate is considered. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Blackwell Publishing Ltd. | en_HK |
dc.relation.ispartof | Journal of Time Series Analysis | en_HK |
dc.rights | Journal of Time Series Analysis . Copyright © Blackwell Publishing Ltd. | en_HK |
dc.subject | Brownian motion | en_HK |
dc.subject | Cointegration | en_HK |
dc.subject | Random coefficients | en_HK |
dc.subject | Score-based test | en_HK |
dc.title | Some results on cointegration with random coefficients in the error correction form: Estimation and testing | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=25&issue=3&spage=419&epage=441&date=2004&atitle=Some+results+on+cointegration+with+random+coefficients+in+the+error+correction+form:+estimation+and+testing | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/j.1467-9892.2004.01913.x | en_HK |
dc.identifier.scopus | eid_2-s2.0-2942554880 | en_HK |
dc.identifier.hkuros | 86158 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-2942554880&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 25 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 419 | en_HK |
dc.identifier.epage | 441 | en_HK |
dc.identifier.isi | WOS:000221437700008 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Fong, PW=7103138432 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0143-9782 | - |