In this paper we consider a particular form of cointegration, called hidden cointegration, which arises between positive and/or negative components of a time series. Hidden cointegration is especially interesting to model asymmetric behaviours, but it requires specific estimation and testing procedures. In order to detect the existence of hidden cointegration we propose a bootstrap version of the two stage Engle and Granger procedure (originally thought for linear cointegration). We also present some Monte Carlo evidence and an application to real data.

A procedure to detect hidden cointegration with the sieve bootstrap

GEROLIMETTO, Margherita;PROCIDANO, Isabella;PIZZI, Claudio
2005

Abstract

In this paper we consider a particular form of cointegration, called hidden cointegration, which arises between positive and/or negative components of a time series. Hidden cointegration is especially interesting to model asymmetric behaviours, but it requires specific estimation and testing procedures. In order to detect the existence of hidden cointegration we propose a bootstrap version of the two stage Engle and Granger procedure (originally thought for linear cointegration). We also present some Monte Carlo evidence and an application to real data.
Statistical Inference on the Deterministic and Stochastic Dynamics of
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/29314
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