Outliers robust ECM cointegration test based on the trend components

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dc.contributor.author Arranz, Miguel A.
dc.contributor.author Escribano, Álvaro
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-01-31T08:48:07Z
dc.date.available 2011-01-31T08:48:07Z
dc.date.issued 2000-12
dc.identifier.uri http://hdl.handle.net/10016/10142
dc.description.abstract The main goal of this paper is to analyze the behaviour of the ECM non-co integration test when there are additive outliers in the time series under different co-breaking situations. We show that the critical values of the usual ECM test are not robust to the presence of transitory shocks and we suggest a procedure based on signal extraction to bypass this problem. These procedure renders ECM tests with a left tail of distribution under the null that is robust to the presence of additive outliers in the series. The small sample critical values and the empirical power of the test are analyzed by Monte Carlo simulations for several low frequency filters.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 00-87
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Outliers
dc.subject.other Transitory co-breaks
dc.subject.other Cointegration testing
dc.subject.other Trend-component error correction models.
dc.title Outliers robust ECM cointegration test based on the trend components
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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