Relevant bibliographies by topics / Cointegration

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Cointegration'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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Journal articles on the topic "Cointegration"

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Gallimore, Paul, J. Andrew Hansz, Wikrom Prombutr, and Ying Zhang. "International Real Estate Review." International Real Estate Review 17, no. 3 (2014): 359–94. http://dx.doi.org/10.53383/100189.

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We investigate long-term cointegrative and short-term causal relations among seven U.S. sectoral REITs. First, cointegration tests identify one long-term cointegrative relation among five of the sectors, which suggests that two of the sectors are outside the cointegrative space. Second, short-term Granger causality tests identify three leading and two following cointegrated sectors. Third, a proposed vector autoregressive model indicates that a stronger cointegrating effect is induced by declining real estate markets and a multivariate sensitivity regression model shows that unexpected inflati
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COOK, STEVEN. "ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005." Annals of Financial Economics 02, no. 01 (2006): 0650003. http://dx.doi.org/10.1142/s2010495206500035.

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The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and industrial production for a long span of US data. In recognition of factors which may result in a failure to detect a genuine cointegrating relationship, the analysis is extended to consider higher-powered cointegration tests, tests which allow for structural change in the cointegrating relationship and tests of
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Bernstein, David, and Bent Nielsen. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient." Econometrics 7, no. 1 (2019): 6. http://dx.doi.org/10.3390/econometrics7010006.

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We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.
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Aue, Alexander, Lajos Horváth, Clifford Hurvich, and Philippe Soulier. "LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS." Econometric Theory 30, no. 3 (2013): 536–79. http://dx.doi.org/10.1017/s0266466613000406.

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We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility and nontrading periods that may be different for the two assets. We also allow for asymmetries (leverage effects). We obtain the asymptotic distribution of the log-price process. For the weak fractional cointegration case, we obtain the asymptotic distribution of the ordinary least squares estimator of the cointegrating parameter based
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Kim, Soohyeon, and Surim Oh. "Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price." Energies 13, no. 17 (2020): 4479. http://dx.doi.org/10.3390/en13174479.

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The rise of shale resources in the United States is changing the petrochemical industries. Ethylene, the first building block of petrochemical products, is becoming the first target to be hit by the shale boom, and its shifting price dynamics needs to be explored. This study analyzes the transition of ethylene prices from crude oil to natural gas (vertical price dynamics) and investigates widening gaps among regional ethylene prices (horizontal price dynamics). To do this, we detect structural changes in cointegrating relationships and derive time-varying cointegration equations. In addition,
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Sugita, Katsuhiro. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model." International Journal of Economics and Finance 9, no. 3 (2017): 49. http://dx.doi.org/10.5539/ijef.v9n3p49.

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This paper examines the US term structure of interest rates using a Bayesian Markov switching cointegration model that allows the cointegrating vectors, the number of cointegrating rank, the risk premium, and other parameters to change when regime shifts. We find that for any pair of the interest rates there is a strong support for the cointegrating implication of the expectation hypothesis at least in a stable regime, while for some pairs of the interest rates the cointegration does not occur in a high volatility regime. We find that a Markov switching cointegration model captures regime shif
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Shin, Yongcheol. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration." Econometric Theory 10, no. 1 (1994): 91–115. http://dx.doi.org/10.1017/s0266466600008240.

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This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips
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LEAN, HOOI HOOI, PARESH NARAYAN, and RUSSELL SMYTH. "EXCHANGE RATE AND STOCK PRICE INTERACTION IN MAJOR ASIAN MARKETS: EVIDENCE FOR INDIVIDUAL COUNTRIES AND PANELS ALLOWING FOR STRUCTURAL BREAKS." Singapore Economic Review 56, no. 02 (2011): 255–77. http://dx.doi.org/10.1142/s0217590811004250.

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This article examines the relationship between exchange rates and stock prices in eight Asian countries. We test for cointegration and Granger causality for both individual countries using the Gregory and Hansen cointegration test that accommodates a structural break in the cointegrating vector, and for a panel using the Westerlund panel Lagrange multiplier (LM) cointegration test that allows for multiple structural breaks in the level of the individual cointegrating equations. Our results for individual countries suggest that the only country for which exchange rates and stock prices are coin
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Dao, Phong B. "On Cointegration Analysis for Condition Monitoring and Fault Detection of Wind Turbines Using SCADA Data." Energies 16, no. 5 (2023): 2352. http://dx.doi.org/10.3390/en16052352.

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Cointegration theory has been recently proposed for condition monitoring and fault detection of wind turbines. However, the existing cointegration-based methods and results presented in the literature are limited and not encouraging enough for the broader deployment of the technique. To close this research gap, this paper presents a new investigation on cointegration for wind turbine monitoring using a four-year SCADA data set acquired from a commercial wind turbine. A gearbox fault is used as a testing case to validate the analysis. A cointegration-based wind turbine monitoring model is estab
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Bierens, Herman J., and Luis F. Martins. "TIME-VARYING COINTEGRATION." Econometric Theory 26, no. 5 (2010): 1453–90. http://dx.doi.org/10.1017/s0266466609990648.

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In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.
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Dissertations / Theses on the topic "Cointegration"

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Löf, Mårten. "On seasonality and cointegration." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-614.

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This thesis, which consists of four essays, focus on seasonal and periodic cointegration models. These models are tools to describe changing seasonality.Essay 1 "Forecasting performance of seasonal cointegration models", with Johan Lyhagen. Forecasts from two different seasonal cointegration specifications are compared in an empirical forecasting example and in a Monte Carlo study. One of the two specifications include a certain parameter restriction at the annual frequency, wheras the other specification is more general. In the empirical forecasting example we also include a standard cointegr
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Löf, Mårten. "On seasonality and cointegration /." Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/556.htm.

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Pashourtidou, Nicoletta. "Cointegration in misspecified models." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252324.

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Clements, Michael P. "Cointegration and dynamic econometric modelling." Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.

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Giese, Julia V. "Essays in Applied Cointegration Analysis." Thesis, University of Oxford, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517139.

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Huber, Florian, and Thomas Zörner. "Threshold cointegration and adaptive shrinkage." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5577/1/wp250.pdf.

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This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in moderate to large dimensions. Using the lagged cointegrating error as a threshold variable gives rise to additional difficulties that are typically solved by relying on large sample approximations. Relying on Markov chain Monte Carlo methods we circumvent these issues by avoiding computationally prohibitive estimation strategies like the grid search. Due to the proliferation of parameters we use novel global-local shrinkage priors in the spirit of Griffin and Brown (2010). We illustrate the merit
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Schmidt, Arlen David. "Pairs Trading: A Cointegration Approach." Thesis, Discipline of Finance, 2009. http://hdl.handle.net/2123/4072.

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This study uses the Johansen test for cointegration to select trading pairs for use within a pairs trading framework. A long-run equilibrium price relationship is then estimated for the identified trading pairs, and the resulting mean-reverting residual spread is modeled as a Vector-Error-Correction model (VECM). The study uses 5 years of daily stock prices starting from the beginning of July, 2002. The search for trading pairs is restricted to 17 financial stocks listed on the ASX200. The results show that two cointegrated stocks can be combined in a certain linear combination so that the dyn
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Örsal, Deniz Dilan Karaman. "Essays on panel cointegration testing." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2009. http://dx.doi.org/10.18452/15894.

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Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson et al. (2001) in endlichen Stichproben. Die Simulationsergebnisse zeigen, dass unter den fünf untersuchten Panelkointegrationsteststatistiken die Panel-t Teststatistik von Pedroni (1995, 1999) die besten Eigenschaften in endlichen Stichproben besitzt. Der zweite Aufsatz präsentiert eine Korrektur des Be
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ARMILLOTTA, EMANUELE. "Issues in Nonlinear Cointegration Modelling." Doctoral thesis, Università Politecnica delle Marche, 2017. http://hdl.handle.net/11566/251236.

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In letteratura sempre maggiore è l’attenzione rivolta ai modelli di cointegrazione non lineari. Nella struttura a termine dei tassi di interesse i modelli a soglia permettono di considerare quei fattori, come i premi per il rischio variabili, i costi di transazione e gli interventi di politica monetaria, che ostacolano l’aggiustamento attorno l’equilibrio di lungo periodo. Nel contesto del mercato obbligazionario statunitense viene indagata la capacità di un modello che ammette una maggior flessibilità di approssimare le dinamiche non lineari del meccanismo di aggiustamento soprattutto in occ
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Göttfert, Joline. "Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple." Thesis, Umeå universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-161079.

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The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). The results from both cointegration tests suggest that Bitcoin
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Books on the topic "Cointegration"

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Rao, B. Bhaskara, ed. Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2.

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1939-, Johansen Søren, ed. Workbook on cointegration. Oxford University Press, 1998.

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Tsolaki, E. Cointegration in time series. UMIST, 1996.

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Fund, International Monetary, ed. Cointegration and long-horizon forecasting. International Monetary Fund, 1997.

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1939-, Bhaskara Rao B., ed. Cointegration for the applied economist. St. Martin's Press, 1994.

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Davidson, James E. H. Cointegration in linear dynamic systems. London School of Economics and Political Science, 1986.

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1939-, Bhaskara Rao B., ed. Cointegration for the applied economist. 2nd ed. Palgrave Macmillan, 2008.

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1939-, Bhaskara Rao B., ed. Cointegration for the applied economist. 2nd ed. Palgrave Macmillan, 2008.

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Hendry, David F. Cointegration and dynamics in economics. North-Holland, 1997.

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Hylleberg, Svend. Cointegration and error correction mechanisms. Institute of Economics, University of Aarhus, 1988.

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Book chapters on the topic "Cointegration"

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Rao, B. Bhaskara. "Editor’s Introduction." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_1.

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Dickey, David A., Dennis W. Jansen, and Daniel L. Thornton. "A Primer on Cointegration with an Application to Money and Income." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_2.

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Holden, Darryl, and Roger Perman. "Unit Roots and Cointegration for the Economist." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_3.

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Perron, Pierre. "Trend, Unit Root and Structural Change in Macroeconomic Time Series." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_4.

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Mehra, Yash P. "Wage Growth and the Inflation Process: An Empirical Approach." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_5.

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Otto, Glenn. "Diagnostic Testing: An Application to the Demand for M1." In Cointegration. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23529-2_6.

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Kirchgässner, Gebhard, Jürgen Wolters, and Uwe Hassler. "Cointegration." In Introduction to Modern Time Series Analysis. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-33436-8_6.

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Kirchgässner, Gebhard, and Jürgen Wolters. "Cointegration." In Introduction to Modern Time Series Analysis. Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-73291-4_6.

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Burgess, A. Neil. "Cointegration." In Perspectives in Neural Computing. Springer London, 2002. http://dx.doi.org/10.1007/978-1-4471-0151-2_21.

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Zivot, Eric, and Jiahui Wang. "Cointegration." In Modeling Financial Time Series with S-Plus®. Springer New York, 2003. http://dx.doi.org/10.1007/978-0-387-21763-5_12.

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Conference papers on the topic "Cointegration"

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Afonin, Nikita V., and Elena A. Skorodumova. "Time Series Analysis for Cointegration." In 2025 Wave Electronics and its Application in Information and Telecommunication Systems (WECONF). IEEE, 2025. https://doi.org/10.1109/weconf65186.2025.11017151.

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Meng, Xianglei, Fubing Xia, Xue Xu, and Yuanjian Fu. "A Novel Nonstationary Process Monitoring Model Based on Cointegration Analysis." In 2025 IEEE 14th Data Driven Control and Learning Systems (DDCLS). IEEE, 2025. https://doi.org/10.1109/ddcls66240.2025.11065675.

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Zanetto, F., M. Crico, A. Martinez, et al. "CMOS analog electronics for on-chip monitoring and control of Silicon Photonics circuits." In CLEO: Science and Innovations. Optica Publishing Group, 2024. http://dx.doi.org/10.1364/cleo_si.2024.sf1m.4.

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We report on the monolithic cointegration of CMOS analog electronic circuits in a commercial Silicon Photonics technology, providing the essential building blocks for on-chip amplification and processing of electrical signals.
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Plaskon, Svitlana, Svitlana Shevelova, Olesya Martyniuk, Ruslana Ruska, Oksana Lesyk, and Svitlana Korendii. "Savings and Gross Domestic Product in Ukraine: Cointegration and Causal Relationships Analysis." In 2024 14th International Conference on Advanced Computer Information Technologies (ACIT). IEEE, 2024. http://dx.doi.org/10.1109/acit62333.2024.10712576.

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Nagina, Razia, Dr Sowmya Kethi Reddi, and Yuvika Midha. "Responsible AI based Cointegration and Causality between Cryptocurrency and Traditional Stock Markets." In 2024 International Conference on Intelligent & Innovative Practices in Engineering & Management (IIPEM). IEEE, 2024. https://doi.org/10.1109/iipem62726.2024.10925766.

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Tauke-Pedretti, Anna, Radoslav Bogoslovov, Amil Patel, and Chelsea Haughn. "DARPA HAPPI: New Dimensions in Photonics." In Optical Fiber Communication Conference. Optica Publishing Group, 2025. https://doi.org/10.1364/ofc.2025.th3h.3.

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The device and link density of today’s photonic integrated circuits lag microelectronics by many orders of magnitude. This limits the functionality of optical microsystems and the seamless cointegration of photonics with microelectronics. The DARPA Heterogenous Adaptively Produced Photonic Interfaces (HAPPI) program aims to break these limits and scale photonic circuits100x by moving from planar to 3D photonic architectures.
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Diniz, M., C. A. B. Pereira, J. M. Stern, Marcelo de Souza Lauretto, Carlos Alberto de Bragança Pereira, and Julio Michael Stern. "FBST for Cointegration Problems." In BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: Proceedings of the 28th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. AIP, 2008. http://dx.doi.org/10.1063/1.3038994.

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Özmen, Mehmet, and Sera Şanlı. "Seasonal Cointegration Approach on Expenditure Based Gross Domestic Product and Its Some Sub-Components for Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c09.01980.

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In this study, it has been aimed to investigate the existence of co-integration relationship between quarterly gross domestic product (GDP), final consumption expenditures of resident households (CONS), exports of goods and services (EXP), government final consumption expenditures (GOV) and private sector machinery-equipment (PRIEQ) series for the period 1998Q1-2014Q4 for Turkey. Since, Engle and Granger (1987) cointegration test does not take unit roots at seasonal frequencies into account; seasonal cointegration approach proposed by Engle, Granger, Hylleberg and Lee (EGHL) (1993) has been co
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Xia, Zeyu, and Changle Lin. "Cointegration identification with metric learning." In Fifth International Conference on Computer Information Science and Artificial Intelligence (CISAI 2022), edited by Yuanchang Zhong. SPIE, 2023. http://dx.doi.org/10.1117/12.2667621.

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Dao, P. B. "Cointegration Modelling for Health and Condition Monitoring of Wind Turbines - An Overview." In Floating Offshore Energy Devices. Materials Research Forum LLC, 2022. http://dx.doi.org/10.21741/9781644901731-2.

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Abstract. The cointegration method has recently attracted a growing interest from scientists and engineers as a promising tool for the development of wind turbine condition monitoring systems. This paper presents a short review of cointegration-based techniques developed for condition monitoring and fault detection of wind turbines. In all reported applications, cointegration residuals are used in control charts for condition monitoring and early failure detection. This is known as the residual-based control chart approach. Vibration signals and SCADA data are typically used with cointegration
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Reports on the topic "Cointegration"

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Christoffersen, Peter, and Francis Diebold. Cointegration and Long-Horizon Forecasting. National Bureau of Economic Research, 1997. http://dx.doi.org/10.3386/t0217.

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Müller, Ulrich, and Mark Watson. Low-Frequency Robust Cointegration Testing. National Bureau of Economic Research, 2009. http://dx.doi.org/10.3386/w15292.

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Campbell, John, and Robert Shiller. Cointegration and Tests of Present Value Models. National Bureau of Economic Research, 1986. http://dx.doi.org/10.3386/w1885.

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Bansal, Ravi, Robert Dittmar, and Dana Kiku. Cointegration and Consumption Risks in Asset Returns. National Bureau of Economic Research, 2007. http://dx.doi.org/10.3386/w13108.

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Engle, Robert, and Joao Victor Issler. Estimating Sectoral Cycles Using Cointegration and Common Features. National Bureau of Economic Research, 1993. http://dx.doi.org/10.3386/w4529.

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Flórez, Luz Adriana, Karen L. Pulido-Mahecha, and Mario Andrés Ramos-Veloza. Okun´s law in Colombia: a non-linear cointegration. Banco de la República, 2018. http://dx.doi.org/10.32468/be.1039.

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Hall, Stephen. Time-Series Methods: Dynamic Modeling, Non-Stationarity, and Cointegration. Instats Inc., 2023. http://dx.doi.org/10.61700/vksf9usteps6f469.

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This seminar provides a hands-on exploration of time-series methods useful for econometrics as well as social and health science research. Any modelling exercise involving time series data depends crucially on the correct treatment of any non-stationarity which may be present in the data. The seminar explores the developments in dynamic modelling and non-stationarity which have taken place over the last 50 years in Econometrics, including in-depth coverage types of non-stationarity and tests for them, including cointegrated relationships (shared trends) among multiple variables. A free version
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Hall, Stephen. Time-Series Methods: Dynamic Modeling, Non-Stationarity, and Cointegration. Instats Inc., 2022. http://dx.doi.org/10.61700/nyrm5o8t47qqa469.

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This seminar provides a hands-on exploration of time-series methods useful for econometrics as well as social and health science research. Any modelling exercise involving time series data depends crucially on the correct treatment of any non-stationarity which may be present in the data. The seminar explores the developments in dynamic modelling and non-stationarity which have taken place over the last 50 years in Econometrics, including in-depth coverage types of non-stationarity and tests for them, including cointegrated relationships (shared trends) among multiple variables. A free version
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Melo-Velandia, Luis Fernando, John Jairo León, and Dagoberto Saboyá. Cointegration vector estimation by dols for a three-dimensional panel. Banco de la República, 2007. http://dx.doi.org/10.32468/be.474.

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Horvath, Michael T., and Mark Watson. Testing for Cointegration When Some of the Contributing Vectors are Known. National Bureau of Economic Research, 1994. http://dx.doi.org/10.3386/t0171.

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