COINTEGRATION AND DYNAMIC TIME SERIES MODELS

ABSTRACT. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the 'two-stage' procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.     

山西省房地产投资与经济增长的协整分析

结合山西省房地产业与国民经济的发展状况,采用1990~2012年的数据对山西省的房地产投资与经济增长的关系进行了协整分析和Granger因果检验。经过协整分析得出房地产投资与经济增长有长期稳定的均衡关系,同时发现房地产投资是经济增长的Granger原因。     

Further evidence on breaking trend functions in macroeconomic variables

This study first reexamines the findings of Perron (1989) regarding the claim that most macroeconomic time series are best construed as stationary fluctuations around a deterministic trend function if allowance is made for the possibility of a shift in the intercept of the trend function in 1929 (a crash) and a shift in slope in 1973 (a slowdown in growth). Unlike that previous study, the date of possible change is not fixed a priori but is considered as unknown. We consider various methods to select the break points and the asymptotic and finite sample distributions of the corresponding statistics. A detailed discussion about the choice of the truncation lag parameter in the autoregression and of its effect on the critical values is also included. Most of the rejections reported in Perron (1989) are confirmed using this approach. Secondly, this paper investigates an international data set of post-war quarterly real GNP (or GDP) series for the G-7 countries. Our results are compared and contrasted to those of Banerjee et al. (1992) and Zivot and Andrews (1992). In contrast to the theoretical results contained in these papers, we derive the limiting distribution of the sequential test without trimming.     

江苏经济增长与港口物流发展的关系——基于误差修正模型的实证分析

本文利用江苏省1990-2010年的数据,采用协整分析,格兰杰因果检验的计量方法对江苏省经济增长与港口物流发展的关系进行分析,并根据格兰杰定理建立了两者之间的误差修正模型。揭示了江苏省港口物流与江苏经济增长之间的长期关系和短期动态关系。     

山东省经济增长与煤炭能源消费关系的实证研究

本文基于1990-2012的时序数列,利用协整分析、误差修正模型及格兰杰因果检验,实证检验了山东省经济增长与煤炭能源消耗之间的长期均衡和短期波动情况,并利用脉冲响应分析了两者的动态响应路径。     

Advances in the Analysis of Non-stationary Time Series: An Illustration of Cointegration and Error Correction Methods in Research on Crime and Immigration

Time series data of interest to social scientists often have the property of random walks in which the statistical properties of the series including means and variances vary over time. Such non-stationary series are by definition unpredictable. Failure to meet the assumption of stationarity in the process of analyzing time series variables may result in spurious and unreliable statistical inferences. This paper outlines the problems of using non-stationary data in regression analysis and identifies innovative solutions developed recently in econometrics. Cointegration and error-correction models have recently received positive attention as remedies to the problems of ``spurious regression' arising from non-stationary series. In this paper, we illustrate the relevant statistical concepts concerning these methods by referring to similar concepts used in cross-sectional analysis. An historical example is used to demonstrate how such techniques are applied. It illustrates that ``foreign' immigrants to Canada (1896–1940) experienced elevated levels of social control in areas of high police discretion. ``Foreign' immigration was unrelated to trends in serious crimes but closely related to vagrancy and drunkenness. The merits of cointegration are compared to traditional approaches to the regression analysis of time series.     

房地产价格波动的影响要素分析与趋势预测

本文围绕当前房地产市场的热点问题,应用协整理论研究了我国房地产价格与其多个影响因素之间的长期均衡关系,建立了多因素的长期均衡模型,并给出了各影响因素对房地产价格波动贡献大小的数量化测度,同时建立了相应的误差修正模型,得出全国房地产市场走势的预期。     

自主创新与合作创新的绩效比较

将自主创新与合作创新结合起来,采用协整技术和误差修正模型,就两种不同的技术创新方式对经济发展的影响进行实证分析。得出结论:两种技术创新模式和经济增长率组成的系统在长期构成一个稳定的过程,其中自主创新模式和合作创新模式均对我国经济增长在长期产生了积极的促进作用;由两种技术创新模式和经济增长率所组成的协整系统在短期内对经济增长产生了正向的调节作用,但对经济增长的作用都不是特别明显,自主创新模式对经济发展的净效应为正,而合作创新模式对经济增长的净效应不明显,甚至为负;基于此,提出相应策略以提升国家的创新能力和构筑竞争优势。     

外商直接投资与中国对外贸易间关系的实证研究

在中国的对外经济活动中,东亚的新兴工业化国家和美国都是中国的重要伙伴。文章把新加坡和泰国作为新兴工业化国家的代表与高度发达的美国相对应,采用协整分析和误差修正模型研究了中国对这些国家的贸易与其在华直接投资两者间的关系。研究结果显示,这种关系在两类不同国家间存在较大差异,长期以来,美商在华直接投资与我国对美出口之间具有双向格兰杰因果关系,而另外两个国家则只具有单向的格兰杰因果关系。     

Long difference instrumental variables estimation for dynamic panel models with fixed effects

This paper proposes a new instrumental variables estimator for a dynamic panel model with fixed effects with good bias and mean squared error properties even when identification of the model becomes weak near the unit circle. We adopt a weak instrument asymptotic approximation to study the behavior of various estimators near the unit circle. We show that an estimator based on long differencing the model is much less biased than conventional implementations of the GMM estimator for the dynamic panel model. We also show that under the weak instrument approximation conventional GMM estimators are dominated in terms of mean squared error by an estimator with far less moment conditions. The long difference (LD) estimator mimics the infeasible optimal procedure through its reliance on a small set of moment conditions.     

An empirical analysis of international labour migration in the Philippines

This study empirically investigates the impact of economic, demographic, and political factors on the size of emigration from the Philippines. In 2007, overseas workers from the Philippines sent remittances in excess of US$14 billion annually to their families back home. Although these remittances are an important source of foreign exchange and play an important role in economic development, the determinants of emigration in the Philippines are not well established. A simple unrestricted error correction model of migration was specified and estimated using data spanning the period 1975–2005. Results indicate that the level of unemployment, adult literacy and population density are the key determinants of emigration in the Philippines. The result also indicates that government instability impacts negatively on emigration in the Philippines. The policy implications of the results are discussed.     

英语教学中如何纠正交际语言错误

在教学领域对于学生的语言错误一直存在两种截然相反的观点,有错必纠和一味宽容。在当今强调教学中培养学生的交际能力的同时,交际语言的准确性也应予以重视。     

具有GARCH(1,1)-Normal-errors的单位根过程DF检验的可靠性研究

本文指出了Kim和Schmidt（1993）等在研究GARCH-errors对DF单位根检验有限样本性质影响时存在的方法上的缺陷。通过理论分析和Monte Carlo随机模拟,发现对于具有GARCH（1,1）-Normal-errors的单位根过程采用DF统计量进行检验应遵循以下规律：（1）对于任意给定的初始条件方差h0和条件方差方程的常数项ω,当去掉初始生成的数据足够多时,可以得到相当平稳的误差项序列,并且h0和ω对DF统计量k和r分布的影响可以忽略不计;（2）无论采用DF检验的临界值还是采用统计量的实际分位数,k检验均比τ检验具有较高的可靠性;（3）对于给定的干扰项系数,条件方差方程的系数和越高,k检验和τ检验的可靠性越差。     

Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests

This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980–2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business cycles or some idiosyncratic factors specific to labour market (Cancelo, 2007). Thus, as a testing strategy, we first perform Harvey, Leybourne, and Xiao (2008) linearity unit root test and then apply the newly ESTAR nonlinear unit root test suggested by Kruse (2011). This test has higher power than conventional unit root tests when time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with structural breaks. The empirical results show that unemployment hysteresis hypothesis is strongly rejected, when taking into account the cross-sectional and structural break assumptions. Thus, unemployment rate is expected to return back to their natural levels without executing any costly macroeconomic labour market policies by the OECD’s governments.