How Long to Read Advantages of Non-normality in Testing Cointegration Rank

How Long Does it Take to Read Advantages of Non-normality in Testing Cointegration Rank?

It takes the average reader and 30 minutes to read Advantages of Non-normality in Testing Cointegration Rank by Felix Chan

Assuming a reading speed of 250 words per minute. Learn more

Description

"Since the seminal work of Engle and Granger (1987) and Johansen (1988), testing for cointegration has become standard practice in analysing economic and financial times series data. Many of the techniques in cointegration analysis require the assumption of normality, which may not always hold. Although there is evidence that these techniques are robust to non-normality, most existing techniques are robust to non-normality, most existing techniques do not seek aditional information form non-normality. This is important in at least two cases. Firstly, the number of observations is typically small for macroeconomic time series data, the fact that the underlying distribution may not be normal provides important information that can potentially be useful in testing for cointegrating relationships. Secondly, high frequency financial time series data often shows evidence of non-normal random variables with time-varying second moments and it is unclear how these characteristics affect the standard test of cointegration, such as Johansen's trace and max tests. This paper proposes a new framework derived from Independent Component Analysis (ICA) to test for cointegration. The framework explicitly exploits processes with non-normal distributions and their independence. Monte Carlo simulation shows that the new test is comparable to the Johansen's trace and max tests when the number of observations is large and has a slight advantage over Johansen's tests if the number of observations is limited. Moreover, the computational requirement for this method is relatively mild, which makes this method practical for empirical research."--Page 1.

How long is Advantages of Non-normality in Testing Cointegration Rank?

Advantages of Non-normality in Testing Cointegration Rank by Felix Chan is 30 pages long, and a total of 7,500 words.

This makes it 10% the length of the average book. It also has 9% more words than the average book.

How Long Does it Take to Read Advantages of Non-normality in Testing Cointegration Rank Aloud?

The average oral reading speed is 183 words per minute. This means it takes and 40 minutes to read Advantages of Non-normality in Testing Cointegration Rank aloud.

What Reading Level is Advantages of Non-normality in Testing Cointegration Rank?

Advantages of Non-normality in Testing Cointegration Rank is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

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