Syncronicity between macroeconomic time series: an exploratory analysis

Felipe M. Aparicio and Ana García
Authors registered in the RePEc Author Service: Alvaro Escribano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we analyse the performances of a model free cointegration testing device that we construct from functions of order statistics. First, we propose new exploratory techniques that consist in comparing the plots of the range and the jump sequences of the original series. These plots suggest alternative cointegration testing schemes. Here we focused on one of them, which involves two complementary test statistics. We report on some promising results obtained from Monte Carlo experiments as well as on some empirical applications of the new method to pairs of exchange-rates, and to gold and silver prices. Our study concludes that the proposed methodology is potentially robust to monotonic nonlinearities and serial correlation structure in the cointegration errors, and certain types of level shifts in the cointegrating relationship.

Keywords: Cointegration; Nonlinearity; Ranks; Ranges; Jumps (search for similar items in EconPapers)
Date: 2000-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 16ba506ec182/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:9922

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().