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Syncronicity between macroeconomic time series: an exploratory analysis

Author

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  • Aparicio, Felipe M.
  • Escribano, Álvaro
  • García, Ana

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.

Suggested Citation

  • Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:9922
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    References listed on IDEAS

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    1. Aparicio, Felipe M. & Escribano, Álvaro, 1998. "Cointegration testing using the ranges," DES - Working Papers. Statistics and Econometrics. WS 10941, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(3), pages 269-298, June.
    3. Alvaro Escribano & Santiago Mira, 2002. "Nonlinear error correction models," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 509-522, September.
    4. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
    5. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
    6. Miguel A. Arranz & Alvaro Escribano, 2000. "Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 23-52, February.
    7. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
    8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    Cited by:

    1. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2003. "Range unit root tests," DES - Working Papers. Statistics and Econometrics. WS ws031126, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.

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