Instability in cointegration regressions : a brief review with an application to money demand in Portugal
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/6822 |
Resumo: | This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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spelling |
Instability in cointegration regressions : a brief review with an application to money demand in PortugalSocial SciencesThis study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.Fundação para a Ciência e Tecnologia (FCT) -PRAXIS XXI BD/16141/98, POCTI/ECO/33778/2000, POCTI/ ECO/34755/2000RoutledgeUniversidade do MinhoGabriel, Vasco J.Lopes, Artur C. B. da SilvaNunes, Luis C.2003-012003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/6822eng"Applied Economics". ISSN 1466-4283. 35:8 (Jan. 2003) 893 - 900.1466-428310.1080/0003684022000018187http://web.ebscohost.com/ehost/pdf?vid=2&hid=4&sid=dbc68f26-1d2f-4bfb-a0ed-bb4706fbc2a2%40sessionmgr2info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:33:03Zoai:repositorium.sdum.uminho.pt:1822/6822Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:28:31.227807Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
title |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
spellingShingle |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal Gabriel, Vasco J. Social Sciences |
title_short |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
title_full |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
title_fullStr |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
title_full_unstemmed |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
title_sort |
Instability in cointegration regressions : a brief review with an application to money demand in Portugal |
author |
Gabriel, Vasco J. |
author_facet |
Gabriel, Vasco J. Lopes, Artur C. B. da Silva Nunes, Luis C. |
author_role |
author |
author2 |
Lopes, Artur C. B. da Silva Nunes, Luis C. |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Gabriel, Vasco J. Lopes, Artur C. B. da Silva Nunes, Luis C. |
dc.subject.por.fl_str_mv |
Social Sciences |
topic |
Social Sciences |
description |
This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves. |
publishDate |
2003 |
dc.date.none.fl_str_mv |
2003-01 2003-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/1822/6822 |
url |
http://hdl.handle.net/1822/6822 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
"Applied Economics". ISSN 1466-4283. 35:8 (Jan. 2003) 893 - 900. 1466-4283 10.1080/0003684022000018187 http://web.ebscohost.com/ehost/pdf?vid=2&hid=4&sid=dbc68f26-1d2f-4bfb-a0ed-bb4706fbc2a2%40sessionmgr2 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Routledge |
publisher.none.fl_str_mv |
Routledge |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132780988203008 |