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Article: Some results on cointegration with random coefficients in the error correction form: Estimation and testing

TitleSome results on cointegration with random coefficients in the error correction form: Estimation and testing
Authors
KeywordsBrownian motion
Cointegration
Random coefficients
Score-based test
Issue Date2004
PublisherBlackwell Publishing Ltd.
Citation
Journal Of Time Series Analysis, 2004, v. 25 n. 3, p. 419-441 How to Cite?
AbstractThis 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 Identifierhttp://hdl.handle.net/10722/82904
ISSN
2015 Impact Factor: 1.0
2015 SCImago Journal Rankings: 1.177
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorFong, PWen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:34:43Z-
dc.date.available2010-09-06T08:34:43Z-
dc.date.issued2004en_HK
dc.identifier.citationJournal Of Time Series Analysis, 2004, v. 25 n. 3, p. 419-441en_HK
dc.identifier.issn0143-9782en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82904-
dc.description.abstractThis 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.languageengen_HK
dc.publisherBlackwell Publishing Ltd.en_HK
dc.relation.ispartofJournal of Time Series Analysisen_HK
dc.rightsJournal of Time Series Analysis . Copyright © Blackwell Publishing Ltd.en_HK
dc.subjectBrownian motionen_HK
dc.subjectCointegrationen_HK
dc.subjectRandom coefficientsen_HK
dc.subjectScore-based testen_HK
dc.titleSome results on cointegration with random coefficients in the error correction form: Estimation and testingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+testingen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.1467-9892.2004.01913.xen_HK
dc.identifier.scopuseid_2-s2.0-2942554880en_HK
dc.identifier.hkuros86158en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-2942554880&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume25en_HK
dc.identifier.issue3en_HK
dc.identifier.spage419en_HK
dc.identifier.epage441en_HK
dc.identifier.isiWOS:000221437700008-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridFong, PW=7103138432en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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