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Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions
[Arbeitspapier]
Körperschaftlicher Herausgeber
Institut für Höhere Studien (IHS), Wien
Abstract This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i.e., regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and the stat... mehr
This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i.e., regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and the stationary errors are allowed to be serially correlated. We consider five variants of monitoring statistics and develop the results for three modified least squares estimators for the parameters of the CPRs. The simulations show that using the combination of self-normalization and a moving window leads to the best performance. We use the developed monitoring statistics to assess the structural stability of environmental Kuznets curves (EKCs) for both CO2 and SO2 emissions for twelve industrialized country since the first oil price shock.... weniger
Thesaurusschlagwörter
Strukturwandel; Monitoring; Umweltbelastung; Industriestaat
Klassifikation
Ökologie und Umwelt
Freie Schlagwörter
Cointegrating Polynomial Regression; Environmental Kuznets Curve
Sprache Dokument
Englisch
Publikationsjahr
2020
Erscheinungsort
Wien
Seitenangabe
53 S.
Schriftenreihe
IHS Working Paper, 27
Status
Veröffentlichungsversion; begutachtet