SELECTED
PUBLICATIONS
(before 1998)
[More Stuff in RePEC]
| ``Cointegration and Aggregation", Review of Economics, (1993) 47, 281-291. Informal Abstract: This paper analyzes the conditions under which cointegration at the micro level implies cointegation at the macro level and vice versa. The latter has not been studied much in the aggregation literature when it is in fact the macro level the one we observe more often. |
| ``Five Alternative Methods of Estimating Long Run Equilibrium Relationships", Journal of Econometrics (1994), 60, 1-31. Informal Abstract: This is the first paper to study the asymptotic distribution of principal components and canonical correlation methods (between Xt and Xt-1) to estimate the cointegrating vector. These methods are compared theoretically with OLS, NLS and ML. The paper concludes with a simulation exercise comparing the finite sample performance of these five methods to conclude that in the IQR metric ML is superior to the other ones. To show how relevant is the estimation method in practice, the paper starts with an application of the term structure of the interest rates showing that the cointegrating vector varies depending on the method used. |
``Estimation of Common Long Memory Components in Cointegrated Systems" (with C. Granger), Journal of Business & Economic Statistics (1995), 13, 27-36. Informal Abstract: This papers proposes a simple way of finding why a set of variables is cointegrated. As a by-product proposes a new Permanent and Transitory multivariate decomposition. |
| ``No Lack of Relative Power of the DF Type Tests" (with T.Lee), Journal of Time Series Analysis (1996), 17, 37-47. Informal Abstract: All the tests have a lack of power in finite samples. This paper shows that the power of the DF test for testing rho=1 versus rho<1 is NOT smaller than the power the Wald test for testing rho=.5 versus rho<.5. Of course the consequences are different; but this is a different issue. |
| ``P-values of Non-Standard Distributions: The DF Case" (with J. Adda), Economic Letters (1996), 50, 155-160. Informal Abstract: |
``Testing for Multicointegration" (with Tom Engsted and Niels Haldrup), Economics Letters (1997), 56, 259-266. Informal Abstract: |
``On the Exact Moments of Non-Standard Asymptotic Distributions in Non-Stationary Autoregressions with Dependent Errors'' (with J-Y Pitarakis), International Economic Review (1998), 39, 71-88. Informal Abstract: |
| For more publications see the main page at https://economia.uc3m.es/jgonzalo/ |
WORKING PAPERS |