Plant biotechnology – Predictive, green and quantitative

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• 作者：Joe Chappell ; Erich Grotewold
• 关键词：Cointegration vector ; Maximum likelihood estimation ; Ordinary least squares ; Search method
• 刊名：Current Opinion in Biotechnology
• 出版年：2008
• 出版时间：April 2008
• 年：2008
• 卷：19
• 期：2
• 页码：129-130
• 全文大小：90 K

文摘

A search method is applied to foreign exchange rates of G-7 countries, in terms of the US dollar, to estimate cointegration relationships. The method searches numerically, by strictly following the definition of the cointegration, a particular linear combination of nonstationary series in order to make it a stationary series. The list of those exchange rates which are cointegrated from the new method is very different from those derived from the conventional maximum likelihood estimation or ordinary least squares methods. The new method also provides confidence intervals for cointegration coefficients. From the confidence intervals, it is determined that certain G-7 currencies expressed in terms of the mark or the pound become stationary.