Researcher:
Caner, Mehmet

Profile Picture
ORCID

Job Title

Faculty Member

First Name

Mehmet

Last Name

Caner

Name

Name Variants

Caner, Mehmet

Email Address

Birth Date

Filters

1997 - 19982

Advanced Search

Filter by

Settings

Researcher Of Publications: search.filters.isAuthorOfPublication.1f5a05d7-c430-4cbb-8b10-e8c1b557e6ff

Search Results

Now showing 1 - 2 of 2
  • Placeholder
    PublicationMetadata only
    Weak convergence to a matrix stochastic integral with stable processes
    (Cambridge Univ Press, 1997) Department of Economics; Caner, Mehmet; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper generalizes the univariate results of Chan and Tran (1989, Econometric Theory 5, 354-362) and Phillips (1990, Econometric Theory 6, 44-62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(1) for a random walk with independent and identically distributed errors and for I(1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. The limit laws are represented by functionals of a stable process. A semiparametric correction is used in order to asymptotically eliminate the ''bias'' term in the limit law. These results are also an extension of the multivariate limit theory for square-integrable disturbances derived by Phillips and Durlauf (1986, Review of Economic Studies 53, 473-495). Potential applications include tests for multivariate unit roots and cointegration.
  • Placeholder
    PublicationMetadata only
    Tests for cointegration with infinite variance errors
    (Elsevier Science Sa, 1998) Department of Economics; Caner, Mehmet; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper develops the asymptotic theory for residual-based tests and quasi-likelihood ratio tests for cointegration under the assumption of infinite variance errors. This article extends the results of Phillips and Ouliaris (1990) and Johansen (1988, 1991) which are derived under the assumption of square-integrable errors. Here the limit laws are expressed in terms of functionals of symmetric stable laws rather than Brownian motion. Critical values of the residual-based tests of Phillips and Ouliaris (1990) and likelihood-ratio-based tests of Johansen (1991) are calculated and tabulated. We also investigate whether these tests are robust to infinite variance errors. We found that regardless of the index of stability a, the residual-based tests are more robust to infinite variance errors than the likelihood-ratio-based tests. (C) 1998 Elsevier Science S.A. All rights reserved.