2012 Fiscal Year Final Research Report
The influence of volatility and endogeneity in economic time series on cointegration analysis
| Project/Area Number |
23730220
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Ryukoku University |
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Principal Investigator |
DAIKI Maki 龍谷大学, 経済学部, 准教授 (60423737)
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| Project Period (FY) |
2011 – 2012
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| Keywords | ボラティリティ / 内生性 / 共和分分析 |
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| Research Abstract |
This research investigated the influence of heteroskedastic variances and endogeneity on cointegration analysis. We demonstrated that a variance ratio cointegration test yields reasonable empirical sizes under most cases of heteroskedastic variances and endogeneity, as compared to other tests including standard cointegration tests. While the cointegration test with threshold adjustment has size distortions under heteroskedastic variances and endogeneity, it generally has better power performance under most cointegration relationships with nonlinearity.
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