Anon

Cointegration 197 engle-granger Cointegration tests The Engle-Granger conintegration test, developed by Engle and Granger,^7 inv ...

198 The Basics of financial economeTrics cointegration tests, the null hypothesis states that the variables lack cointegration a ...

Cointegration 199 described in an error-correction format described in the following two equations: (^) ∆=ybti 10 +∆by 11 ti−−+∆ ...

200 The Basics of financial economeTrics is determined by the present value (discounted value) of its expected future dividend s ...

Cointegration 201 In accordance with Step 1 of the four-step Engle-Granger conintegra- tion test, it is necessary to establish t ...

202 The Basics of financial economeTrics In Table 10.2, we present the results of formal tests of nonstationarity. The lag lengt ...

Cointegration 203 table 10.4 Augmented Dickey-Fuller Tests of Residuals for Cointegration Panel A. 1962 − 1982 n = 248 Variable ...

204 The Basics of financial economeTrics cointegration is rejected at the 10% level of statistical significance. For the entire ...

Cointegration 205 and dividends deviate from long-run equilibrium. The error- correction term is included in both equations to g ...

206 The Basics of financial economeTrics The Johansen-Juselius cointegration test^13 avoids these problems. Con- sider the follo ...

Cointegration 207 cointegration vector. The maximum eigenvalue test, so-named because it is based on the largest eigenvalue, tes ...

208 The Basics of financial economeTrics of the French stock index at time t; y 2 t is the log of the German stock index at time ...

Cointegration 209 15.49 necessary to establish statistical significance at the 5% level. We do not reject the null hypothesis. W ...

210 The Basics of financial economeTrics Panel B of Table 10.7 presents the error-correction model estimates for each of the thr ...

Cointegration 211 and the Netherlands attain statistical significance (at the 5% level) and are about the same size. This shows ...

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213 A fter reading this chapter you will understand: ■ (^) The concepts of homoscedasticity and heteroscedasticity. ■ (^) The co ...

214 The Basics of financial economeTrics variance of each one and their covariances. Thus a time series tool for esti- mating co ...

Autoregressive Heteroscedasticity Model and Its Variants 215 Although the EMWA approach for forecasting future volatility is sup ...

216 The Basics of financial economeTrics The key idea behind ARCH models is the following: Unpredictable fluctuations of asset p ...