By Peijie Wang

ISBN-10: 0203990730

ISBN-13: 9780203990735

ISBN-10: 0415224543

ISBN-13: 9780415224543

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Additional info for Financial Econometrics: Methods and Models (Routledge Advanced Texts in Economics and Finance)

Example text

K is zero when r < k. So there are only cycles or stationary components, cj t , j = 1, . . , k, left in the linear combination of yj t , j = 1, . . , k, which exhibits no trends. This is exactly the idea of cointegration discussed above. e. τ2t = 0; τj t = 0, j = 2), y2t will not be cointegrated with Unit roots, cointegration, common trends and cycles 21 any other variables in the system as any linear combination involving y2t will be non-stationary, though y2t does share common trends with the rest of the variables.

Dwyer, G. P. Jr. and Wallace, M. S. (1992), Cointegration and market efficiency, Journal of International Money and Finance, 11, 318–327. Engle, R. F. and Granger, C. W. J. (1987), Co-integration and error correction: Representation, estimation, and testing, Econometrica, 55, 251–267. Engle, R. F. and Issler, J. V. (1995), Estimating common sectoral cycles, Journal of Monetary Economics, 35, 83–113. Engle, R. F. and Kozicki, S. (1993), Testing for common features, Journal of Business and Economic Statistics, 11, 369–395.

4 Notice β−1 is not the inverse matrix of β (such inverse matrix does not exist), it is simply −1 β −1 , similarly β˜ is the last s columns of B−1 . the first r columns of B−1 = β˜ 5 We can introduce briefly the ideas of variance decomposition and impulse response here. Variance decomposition is to inspect the contributions to one sector’s variance from all other sectors, including itself, so the relative importance of these sectors can be evaluated. Impulse response analysis is to examine the impact of a unit shock in one sector on the other; similar to variance decomposition, the influence of one sector on the other and the relative importance of all the sectors to an individual sector can be evaluated.

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Financial Econometrics: Methods and Models (Routledge Advanced Texts in Economics and Finance) by Peijie Wang

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