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作者:Yingqian Lin , Yundong Tu , Qiwei Yao
来源:[J].Journal of Econometrics(IF 1.71), 2020, Vol.216 (1), pp.175-191
摘要:Abstract(#br)In recent years statistical inference for nonlinear cointegration has attracted attention from both academics and practitioners. This paper proposes a new type of cointegration in the sense that two univariate time series y t and x t are cointegrated via two (unknow...
作者:Mauro Salvetti , Claudio Sbarufatti , Elisabeth Cross ...
来源:[J].Mechanical Systems and Signal Processing(IF 1.913), 2019, Vol.123, pp.84-101
摘要:... In this framework, this study considers cointegration as a state of the art method for data normalisation in fatigue crack propagation scenarios, where monitoring is performed by a distributed network of strain sensors. Specifically, the work is aimed at demonstrating the eff...
作者:Jong Cheol Yoon , Dai Hong Min , Sang Young Jei
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2019, Vol.521, pp.41-47
摘要:Abstract(#br)This study revisits purchasing power parity (PPP) for China and the United Kingdom (UK) by applying a time-varying cointegration model. When traditional linear unit root tests and a time-invariant cointegration test are performed, we find fixed long-run equilibrium i...
作者:Haichen Shi , Keith Worden , Elizabeth J. Cross
来源:[J].Mechanical Systems and Signal Processing(IF 1.913), 2018, Vol.103, pp.381-397
摘要:Abstract(#br)Cointegration is now extensively used to model the long term common trends among economic variables in the field of econometrics. Recently, cointegration has been successfully implemented in the context of structural health monitoring (SHM), where it has been used to...
作者:Zhijie Xiao
来源:[J].Journal of Econometrics(IF 1.71), 2009, Vol.152 (2), pp.81-92
摘要:Abstract(#br)This paper studies estimation and inference of functional coefficient cointegration models. The proposed model offers a more flexible structure of cointegration where the value of cointegrating coefficients may be affected by informative covariates and thus may vary ...
作者:Emanuel Sousa Tomé , Mário Pimentel , Joaquim Figueiras
来源:[J].Mechanical Systems and Signal Processing(IF 1.913), 2020, Vol.135
摘要:... In this context, a strategy for early damage detection based on multivariate cointegration analysis and statistical process control is proposed. The effects of environmental and operational variations are suppressed using cointegration analysis, being the cointegrating vector...
作者:Solarin Sakiru Adebola , Luis A. Gil-Alana , Godfrey Madigu
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2019, Vol.523, pp.1227-1236
摘要:... In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold...
作者:Frank Kleibergen , Richard Paap
来源:[J].Journal of Econometrics(IF 1.71), 2002, Vol.111 (2), pp.223-249
摘要:Abstract(#br)Cointegration occurs when the long-run multiplier matrix of a vector autoregressive model exhibits rank reduction. Using a singular value decomposition of the unrestricted long-run multiplier matrix, we construct a parameter that reflects the presence of rank reducti...
作者:Phong B. Dao , Wieslaw J. Staszewski , Tomasz Barszcz ...
来源:[J].Renewable Energy(IF 2.989), 2018, Vol.116, pp.107-122
摘要:Abstract(#br)This paper presents a new methodology – based on cointegration analysis of Supervisory Control And Data Acquisition (SCADA) data – for condition monitoring and fault diagnosis of wind turbines. Analysis of cointegration residuals – obtained from cointegration...
作者:Haichen Shi , Keith Worden , Elizabeth J. Cross
来源:[J].Mechanical Systems and Signal Processing(IF 1.913), 2019, Vol.120, pp.16-31
摘要:... In the effort to project out the environmental and operational variations, cointegration, a method originating in econometrics, has been successfully employed in various SHM studies. This paper will explore a possible enhanced approach to cointegration, to make it applicable ...

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