Data Dependent Rules for Selection of the Number of Leads and Lags in the Dynamic Ols Cointegrating Regression

Kejriwal, Mohitosh; Perron, Pierre

doi:10.1017/s0266466608080560

Cited by 28 publications

(23 citation statements)

References 17 publications

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“…As suggested by Kejriwal and Perron (2008a), I determine the appropriate number of lagged differences of oil prices (the parameter p) to include in equation (2) by using the Bayesian information criterion (BIC). I consider rejection of the U D max F * T (M ) statistic at the 5% level to indicate the presence of at least one break.…”

Section: Estimationmentioning

confidence: 99%

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Agerton¹

2017

The Energy Journal

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Asian long-term contracts for liquefied natural gas (LNG) are generally thought to index LNG prices to oil prices. This should mean that LNG and oil prices are cointegrated. However, statistical evidence for cointegration using Japanese data is not strong. To resolve this puzzle, I examine 16 Japanese, South Korean, Taiwanese, and Spanish LNG import price series and allow for multiple, unknown structural breaks in the relationship to oil prices. This resolves the puzzle, and I provide estimates for the timing of breaks and the underlying average pricing terms. I relate these to count, volume, and duration data on long-term contracts and discuss how to interpret econometric estimates in light of contract data. This paper complements existing work on global gas market integration, which largely ignores how discrete changes in oil-indexed long-term contracts will affect empirical relationships.

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Section: Estimationmentioning

confidence: 99%

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Agerton¹

2017

The Energy Journal

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“…In order to remove the serial correlation, we estimate the longrun covariance by applying the Bartlett kernel and select the leads and lags based on the Akaike information criterion following the suggestion of Kejriwal and Perron (2008).…”

Section: Panel Long-run Modelmentioning

confidence: 99%

The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation

Kjosevski

Petkovski

Naumovska

2016

South East European Journal of Economics and Business

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“…For instance if the regression includes both I(1) and I(0) regressors then y t is I (1) and cointegrated with the I(1) regressors. An example of this speci…cation is the dynamic OLS regression (Saikkonen, 1991, Kejriwal andPerron, 2008b) whereby the estimate of a cointegrating vector is obtained by augmenting the static cointegrating relation with leads and lags of the …rst-di¤erences of the I(1) right-hand side variables. A trend can also be included in practice.…”

Section: Model and Assumptionsmentioning

confidence: 99%

Inference on locally ordered breaks in multiple regressions

Perron

2015

Econometric Reviews

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We consider issues related to inference about locally ordered breaks in a system of equations, as originally proposed by Qu and Perron (2007). These apply when break dates in di¤erent equations within the system are not separated by a positive fraction of the sample size. This allows constructing joint con…dence intervals of all such locally ordered break dates. We extend the results of Qu and Perron (2007) in several directions. First, we allow the covariates to be any mix of trends and stationary or integrated regressors. Second, we allow for breaks in the variance-covariance matrix of the errors. Third, we allow for multiple locally ordered breaks, each occurring in a di¤erent equation within a subset of equations in the system. Via some simulation experiments, we show …rst that the limit distributions derived provide good approximations to the …nite sample distributions. Second, we show that forming con…dence intervals in such a joint fashion allows more precision (tighter intervals) compared to the standard approach of forming con…dence intervals using the method of Bai and Perron (1998) applied to a single equation. Simulations also indicate that using the locally ordered break con…dence intervals yields better coverage rates than using the framework for globally distinct breaks when the break dates are separated by roughly 10% of the total sample size.

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Data Dependent Rules for Selection of the Number of Leads and Lags in the Dynamic Ols Cointegrating Regression

Cited by 28 publications

References 17 publications

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Global LNG Pricing Terms and Revisions: An Empirical Analysis

The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation

Inference on locally ordered breaks in multiple regressions

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