Universität zu Köln

Wagner, Martin ORCID: 0000-0002-6123-4797 and Wied, Dominik (2017). Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis. J. Time Ser. Anal., 38 (6). S. 960 - 981. HOBOKEN: WILEY. ISSN 1467-9892

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Abstract

We propose a consistent monitoring procedure for structural change in a cointegrating relationship. The procedure is inspired by Chu et al. (1996) by being based on parameter estimation on a prebreak calibration' period. We use three modified least squares estimators to obtain nuisance parameter-free limiting distributions. We study the asymptotic and finite sample properties of the procedures and finally apply the approach to monitor two-fundamentals-driven US housing prices cointegrating relationships over the period 1976:Q1-2010:Q4 using the data of Anundsen (2015). Depending on the relationship considered and the estimation method used, a break point is detected as early as 2003:Q2, that is, well before US housing prices started to fall in 2007.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Wagner, Martin UNSPECIFIED orcid.org/0000-0002-6123-4797 UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-212914
DOI:	10.1111/jtsa.12247
Journal or Publication Title:	J. Time Ser. Anal.
Volume:	38
Number:	6
Page Range:	S. 960 - 981
Date:	2017
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1467-9892
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language COVARIANCE-MATRIX ESTIMATION; TIME-SERIES REGRESSION; INFERENCE; SELECTION; VECTORS; LEADS; LAGS Multiple languages Mathematics, Interdisciplinary Applications; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/21291