Effects of temporal aggregation on cointegration tests

Date

2005-08-01

Author

Yozgatlıgil, Ceylan

Metadata

Show full item record

Item Usage Stats

151
views

0
downloads

In time series analysis, data are often available in the form of temporal aggregation or systematical sampling, and they are routinely used to test cointegration of nonstationary variables. We first derive the vector error correction representation of vector autoregressive moving average model for aggregate variables. It is known that the cointegration is unchanged under temporal aggregation for stock variables. We proved the cointegration also remains unchanged under temporal aggregation for flow variables. We examine trace and maximal eigenvalue tests and investigate the effects of temporal aggregation on these tests. We introduce a modified statistic to test cointegration for aggregate series and derive the proper critical values of this test.

Subject Keywords

Cointegration, Temporal aggregation, Vector autoregressive moving average processes, Trace test, Maximal eigenvalue test

URI

https://hdl.handle.net/11511/86984
https://ww2.amstat.org/meetings/jsm/2005/onlineprogram/index.cfm?fuseaction=abstract_details&abstractid=304054

Conference Name

Joint Statistical Meetings (JSM) 2005

Collections

Department of Statistics, Conference / Seminar

Suggestions

OpenMETU
Core

Effect of estimation in goodness-of-fit tests Eren, Emrah; Sürücü, Barış; Department of Statistics (2009) In statistical analysis, distributional assumptions are needed to apply parametric procedures. Assumptions about underlying distribution should be true for accurate statistical inferences. Goodness-of-fit tests are used for checking the validity of the distributional assumptions. To apply some of the goodness-of-fit tests, the unknown population parameters are estimated. The null distributions of test statistics become complicated or depend on the unknown parameters if population parameters are replaced by ...
Effect of Voxel Selection on Temporal Mesh Model for Brain Decoding Afrasiyabi, Arman; Onal, Itir; Yarman Vural, Fatoş Tunay (2016-05-19) In this study, we combine a voxel selection method with temporal mesh model to decode the discriminative information distributed in functional Magnetic Resonance Imaging (fMRI) data. We first employ one way Analysis of Variance (ANOVA) feature selection to select the most informative voxels. Then, we form meshes around selected voxels with their spatial and functional neighbors by employing the Mesh Model with Temporal Measurements (MM-TM). We estimate the arc weights of meshes, which represent the relation...
Effects of Non-Abelian Magnetic Fields on Pair Production in Flat and Curved Spaces Özcan, Berk; Kürkçüoğlu, Seçkin; Department of Physics (2021-9) Our objective in this thesis is to compute the pair production rates for both bosons and fermions under the influence of non-abelian gauge fields on the manifolds $\mathbb{R}^{3,1} \equiv \mathbb{R}^2 \times \mathbb{R}^{1,1}$ and $S^2 \times \mathbb{R}^{1,1}$. We will compare the pair production rates of the spherical cases with the flat ones, and also compare the non-abelian cases with the abelian ones to see effects of both curvature and non-abelian field strength on the pair production. We first review t...
Effect of Using Regression in Sentiment Analysis Onal, Itir; Ertuğrul, Ali Mert (2014-04-25) In this study, the effect of using regression on sentiment classification of Twitter data was analyzed. In other words, whether the strength of sentiment better discriminates the classes or not. Since our dataset includes class confidence scores rather than discrete class labels, regression analysis was employed on each class separately. Then, each tweet was assigned the class whose estimated confidence score is maximum among others after regression. The feature set used includes unigrams, POS tags, emotico...
An algorithm for estimating Box–Cox transformation parameter in ANOVA Dag, Osman; İlk Dağ, Özlem (Informa UK Limited, 2016-8-5) In this study, we construct a feasible region, in which we maximize the likelihood function, by using Shapiro-Wilk and Bartlett's test statistics to obtain Box-Cox power transformation parameter for solving the issues of non-normality and/or heterogeneity of variances in analysis of variance (ANOVA). Simulation studies illustrate that the proposed approach is more successful in attaining normality and variance stabilization, and is at least as good as the usual maximum likelihood estimation (MLE) in estimat...

Citation Formats

C. Yozgatlıgil, “Effects of temporal aggregation on cointegration tests,” presented at the Joint Statistical Meetings (JSM) 2005, Minneapolis, USA, 2005, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/86984.