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Article

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions

1
Faculty of Statistics, TU Dortmund University, Vogelpothsweg 87, 44227 Dortmund, Germany
2
Ruhr Graduate School in Economics, Hohenzollernstraße 1-3, 45128 Essen, Germany
3
Department of Economics, University of Klagenfurt, Universitätsstraße 65-67, 9020 Klagenfurt, Austria
4
Bank of Slovenia, Slovenska 35, 1505 Ljubljana, Slovenia
5
Institute for Advanced Studies, Josefstädter Straße 39, 1080 Vienna, Austria
*
Author to whom correspondence should be addressed.
Received: 30 November 2020 / Revised: 14 February 2021 / Accepted: 18 February 2021 / Published: 13 March 2021
(This article belongs to the Special Issue Econometric Analysis of Climate Change)
This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and 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 countries since the first oil price shock. View Full-Text
Keywords: cointegrating polynomial regression; environmental kuznets curve; monitoring; structural change cointegrating polynomial regression; environmental kuznets curve; monitoring; structural change
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MDPI and ACS Style

Knorre, F.; Wagner, M.; Grupe, M. Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. Econometrics 2021, 9, 12. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010012

AMA Style

Knorre F, Wagner M, Grupe M. Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. Econometrics. 2021; 9(1):12. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010012

Chicago/Turabian Style

Knorre, Fabian, Martin Wagner, and Maximilian Grupe. 2021. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions" Econometrics 9, no. 1: 12. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010012

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