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Essays on Cointegration Analysis
Get PDFDefence date: 13 December 2003Supervisor: S. JohansenThesis first made available online in October 2012.Essays in cointegration analysis never was the working title of the work in progress for the last seven years. I started this project with the aim of doing applied research in economics and econometrics. Hence the last chapter of this thesis, Money demand in the Netherlands, was the first chapter written. Yet that very first version, written in Florence in 1998, bears little resemblance to the present version, included in this thesis. The only substantial agreement with the first version are the data used: the short term interest rates were collected from private banks in the Netherlands: as they increasingly offered above money-market interest rates to retail investors, those official interest rates were not relevant for retail investors and even small firms. That interesting problem - the irrelevance of money market rates to money demand - was thus solved rather quickly. Yet the other five chapters all evolved from practical problems, I ran into, during the cointegration analysis of the Dutch data set. I shall thus very briefly describe the cointegrated VAR models and then discuss in turn the problems, these chapters deal with. Each chapter is stand-alone, in that it can be read without having to read any of the others first: this also means that short general overviews of the methodology are presented in each one of them and not repeated here. This introduction just points at the general problems tackled in the papers. For each of the chapters, Matlab programs are available to replicate the results. These are included on a CD, which is part of this thesis. Two programs have been developed into stand-alone packages: 'me2' for maximum likelihood estimation of I(2) models and 'datamine' for the automatic identification and restriction of the cointegration space. Both of them are used in the replication of the results. The replication notes are thus a good starter for using these programs
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Automatic identification of simultaneous equations models
Get PDFThis paper provides an operational procedure for putting indentifying restrictions on a simultaneous equations models. The algorithm works on the restrictions,not on the parameters, such that the identifying restrictions can be imposed before estimation.Simultaneous equations, identification, restriction, cointegration
Automatic identification and restriction of the cointegration space
Get PDFWe automate the process of finding the cointegration relations in a cointegrated VAR. There is a rigorous separation between the theory part (search directions must be defined, a final model chosen) and the automated search. The decision rules are set in such a way that a theoretical upper limit can be given to the asymptotic size of recovering all overidentifying restrictions. A Monte Carlo study shows that the algorithm works well, but that the properties of the asymptotic tests are rather poor at times. The software (in Matlab) to execute the algorithm is available.
Bartlett corrections in stationary VARs
Get PDFWe derive the Bartlett correction for a simple hypothesis on the regression parameters in a multivariate stationary autoregressive process. Three applications illustrate the use of the correction: the test for absence of autocorrelation of any order, a simple hypothesis on the autoregressive parameters and two tests for weak exogeneity in the cointegrated VAR model. In the first of these tests, the cointegration space is known, in the second it is not. The Bartlett correction performs well in all simulation studies, except in the one of the last test, that is a test for weak exogeneity in the cointegrated VAR with an unknown cointegration space.
Money Demand in the Netherlands
Get PDFIn this paper we discuss money demand in the Netherlands over the period 1979-1999. The model it with a VAR integrated of order two and use full maximumlikelihood for inference of testing. We find a stable money demand function over the period considered. It depends on the short term interest rate available to private investors, not the rate in the money market.
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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