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/10400.5/17718 |
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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Instability in cointegration regressions : a brief review with an application to money demand in PortugalThis 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.Taylor & FrancisRepositório da Universidade de LisboaGabriel, Vasco J. C. R. De A.Lopes, Artur SilvaNunes, Luis C2019-04-10T09:31:09Z20032003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17718engGabriel, Vasco J. C. R. De A., Artur Silva Lopes e Luís C. Nunes (2003). "Instability in cointegration regressions : a brief review with an application to money demand in Portugal". Applied Economics, 35(8):893-9000003-684610.1080/0003684022000018187info: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:RCAAP2023-03-06T14:47:22Zoai:www.repository.utl.pt:10400.5/17718Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:02:54.301476Repositório 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. C. R. De A. |
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. C. R. De A. |
author_facet |
Gabriel, Vasco J. C. R. De A. Lopes, Artur Silva Nunes, Luis C |
author_role |
author |
author2 |
Lopes, Artur Silva Nunes, Luis C |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gabriel, Vasco J. C. R. De A. Lopes, Artur Silva Nunes, Luis C |
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 2003-01-01T00:00:00Z 2019-04-10T09:31:09Z |
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/10400.5/17718 |
url |
http://hdl.handle.net/10400.5/17718 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Gabriel, Vasco J. C. R. De A., Artur Silva Lopes e Luís C. Nunes (2003). "Instability in cointegration regressions : a brief review with an application to money demand in Portugal". Applied Economics, 35(8):893-900 0003-6846 10.1080/0003684022000018187 |
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 |
Taylor & Francis |
publisher.none.fl_str_mv |
Taylor & Francis |
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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1799131119558328320 |