# CRDW

AcronymDefinition
CRDWCointegrating Regression Durbin-Watson (econometrics)
CRDWCash Registers Distributors Warehouse (New York)
References in periodicals archive ?
In the bivariate tests, for practical reasons, only the CRDW statistic is used to test for cointegration.
Since cointegration is very crucial to the reliability of estimated parameters, a second test, namely CRDW test, was carried out to make sure that the variables in this study are definitely cointegrated.
In CRDW the DW, d values were above the critical values, indicate that the above variables are co-integated, there seems to be a stable long-run relationship between the two variables.
The ADF and CRDW statistics reject the null hypothesis of no cointegration between migrants as a proportion of total population; wage, unemployment and living standard differentials and cost of move.
In this section, we have used the Engle-Granger test and CRDW test [see Sargan and Bhargava (1983)] to investigate whether the variables under question are cointegrated or not.
Engle-Granger's Cointegration Test (Model: x = [Alpha] + [Beta]y) Japan Korea Taiwan Philippines x = q, y = s CRDW 0.067 0.039 0.199 0.039 ADF(4) -2.098 -1.603 -2.455 -0.036 x = s, y = q CRDW 0.112 0.026 0.235 0.286 ADF(4) -2.533 0.219 -2.338 -0.921 Note: 1.
(5) Null hypothesis is that D.W=0 rather than standard D.W=2, the critical values for CRDW test can be found in Maddala (1992), which is .99.
To conclude, note that in the last line of equation (20) we report, together with the coefficient of determination, several cointegration tests: the cointegrating regression Durbin-Watson and (augmented) Dickey-Fuller test statistics, as well as those proposed by Phillips and Ouliaris [43] (CRDW, CR(A)DF, and [Mathematical Expression Omitted], respectively).
Table 3 Cointegratiort between Stock Prices and Macro Variables Variables Constant Coefficient CRDW ADF Real Consumption -9.526 1.183 *** 0.291 -2.071 ** Reallnvestment -10.771 1.452 *** 0.391 -2.721 *** Real GDP -9.839 1.194 *** 0.299 -2.222 ** Note: The critical values are 1.62, 1.95, and 2.62 at 10 percent, > percent, and I percent.
Table 2 Cointegration Tests (Y, X) CRDW ADF (M1, S1) 0.183 -2.46 * (M1, S2) 0.034 -0.07 (M1, S3) 0.033 -0.73 (M1, S4) 0.191 -3.56 * (M1, S5) 0.074 -2.02 * (M1, S6) 0.065 -2.52 * (M2, S1) 0.104 -3.01 * (M2, S2) 0.005 -1.13 (M2, S3) 0.004 -1.12 (M2, S4) -0.596 -4.25 * (M2, S5) 0.027 -2.69 * (M2, S6) 0.020 -3.52 * CRDW = Cointegrating Regression.
Three tests of cointegration--the CRDW, DF, and ADF statistics--based on residuals are reported in Table 3.
Slope CRDW ADF CP on M0 -2.05 0.63 0.08 -0.63 M0 on CP 3.54 1.52 0.09 -1.11 CP on M1 -2.94 0.67 0.05 -0.96 M1 on CP 4.87 1.40 0.05 -1.36 CP on M2 -2.16 0.58 0.13 -2.72 * M2 on CP 3.79 1.70 0.13 -2.79 * WP on M0 -2.42 0.67 0.08 -1.76 M0 on WP 3.92 1.44 0.08 -1.49 WP on M1 -3.35 0.71 0.04 -1.01 MI on WP 5.23 1.32 0.04 -1.46 WP on M2 -2.53 0.61 0.09 -2.48 * M2 on WP 4.23 1.60 0.09 -2.58 * CRDW = Cointegrating Regression Durbin Watson statistic.
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