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Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions
[working paper]
Corporate Editor
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... view more
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.... view less
Keywords
structural change; monitoring; environmental impact; industrial nation
Classification
Ecology, Environment
Free Keywords
Cointegrating Polynomial Regression; Environmental Kuznets Curve
Document language
English
Publication Year
2020
City
Wien
Page/Pages
53 p.
Series
IHS Working Paper, 27
Status
Published Version; reviewed