We present cointegration analysis as a method to infer the network structure of a linearly phase coupled oscillating system. By defining a class of oscillating systems with interacting phases, we derive a data generating process where we can specify the coupling structure of a network that resembles biological processes. In particular we study a network of Winfree oscillators, for which we pres...

In the process of cointegration analysis, electricity consumption is chosen as the explained variable, and GDP per capita, heavy industry share, and efficiency improvement are chosen as the explanatory variables; then a cointegration model is put forward, which shows that there is a cointegration relationship between the explained variable and explanatory variables. The explained and explanator...

The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis Sami Fethi & Salih Katircioglu To cite this article: Sami Fethi & Salih Katircioglu (2015) The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis, Economic Research-Ekonomska Istraživanja, 28:1, 717-737, DOI: 10.1080/1331677X.2015.1084476 To link to th...

This paper examines types of cointegration for bivariate seasonal time series, namely seasonal cointegration, periodic cointegration and nonperiodic cointegration. The admissable form(s) for any cointegration is shown to depend crucially on the univariate unit root properties of the series. When both processes are (conventionally) integrated, only nonperiodic cointegration is possible. Periodic...

One of the major problems confronting the application of Structural Health Monitoring (SHM) to real structures is that of divorcing the effect of environmental changes from those imposed by damage. A recent development in this area is the import of the technique of cointegration from the field of econometrics. While cointegration is a mature technology within economics, its development has been...

Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold cointegration, from the seminal paper of Balke and Fomby (1997) to the recent developments. Simultaneously, it is to describe the implementation of the main functionalities for the modeling in the open-source package tsDyn. It provides hence a unique way to get an introduction on the threshold coin...

We study the Danish unemployment experience 1905-92 using a common trends model with cointegration constraints. To justify the identifying assumptions about the cointegration vectors and the common trends we present a simple macroeconomic model of the labor market. The model determines the long run behavior of labor productivity, employment, unemployment, real product and real consumer wages. T...

We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator (NBLSE) of the cointegration parameter in the framework of fractional cointegration. This tapered estimator is invariant to deterministic polynomial trends. In particular, we allow for arbitrary linear time trends that often occur in practice. Our simulations show that, in the case of no determini...