Explaining Cointegration Analysis: Part II

By David F. Hendry, K. Juselius. 2000

585 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/98ccf59c40a52d8746bf91b9d019528f060f1bf2

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In Economics and Econometrics

Citations in the corpus

The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries (2005, unknown): “The coefficient on these two deterministic terms can be further decomposed such that 000 γααρµ ⊥+≡ , (3.4) 111 γααρµ ⊥+≡ , __________ 68 See Hubrich et al. (2001) for a review of systems cointegration tests, including Johansen’s likelihood ratio tests. where ⊥α is a ( )( )rkk −× matrix orthogonal to”
Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries (2009, background): “As Hendry and Juselius (2000) note, “variables related to the level of any variables with a stochastic trend will inherit that non-stationarity, and transmit it to other variables in turn”.”
International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan (2005, background): “As previously seen, no price is trending, so among the five deterministic trend cases considered by Johansen (1995), only two cases are considered.”
Finance and Growth: Time Series Evidence on Causality (2015, background): “Step dummies are restricted to lie in the cointegrating space and appear as variables in the cointegrating relationship (Hendry and Juselius, 2001).”
Price relationships in the petroleum market: an analysis of crude oil and refined product prices (2003, background): “See e.g. Hendry and Juselius(2000) for a more thorough discussion about modeling of nonstationary7 data series and cointegration.”
Non-Linear Unit Root Properties of Crude Oil Production (2009, background): “Much peak oil modelling literature such as Hubbert (1959), Wood et al.”
The Weak Tie Between Natural Gas and Oil Prices (2011, background): “See , for example, Hendry and Juselius (2000). lysts in the business and policy community.”
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, unknown): “Hendry & Juselius (2001), use this idea to show that short term deviations from these equivalent pricing conditions can create short-lived arbitrage opportunities depending on the duration of price deviation.”
Interaction of European Carbon Trading and Energy Prices (2007, background): “2Modelling non-stationary variables as stationary invalidates in most cases the inferential procedure, cf. Granger and Newbold (1974), Hendry (1980), Phillips (1986) and Hendry and Juselius (2000).”
Economic Forecasting: Some Lessons from Recent Research (2003, background): “Difference-stationary (DS) and trend-stationary (TS) models have markedly different implications for forecasting when the properties of each are derived as if it were the DGP: see Sampson (1991). However, such a state of nature can never be actualised: only one model can be the DGP.”