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Cointegration analysis

Explaining Cointegration Analysis: Part II

Explaining Cointegration Analysis: Part II

... and cointegration deviations comprise an important class of ...the cointegration analysis is appropriately undertaken in the full (closed) system, and only then are the cointegration vectors ...

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Fisher Hypothesis Revisited: A Fractional Cointegration Analysis

Fisher Hypothesis Revisited: A Fractional Cointegration Analysis

... employ cointegration techniques to test the Fisher ...for cointegration between three-month Treasury bill rates and quarterly inflation for the period from 1952 to 1991, using US ...with ...

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A Cointegration Analysis of Alternative Core Inflation Measures for Turkey

A Cointegration Analysis of Alternative Core Inflation Measures for Turkey

... via cointegration analysis as Freeman (1998) criticizes Bryan and Cecchetti for using simple regression over the difference of the non- stationary data, is referred as internal ...of cointegration ...

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A cointegration analysis of crude palm oil price in Thailand

A cointegration analysis of crude palm oil price in Thailand

... to cointegration analysis, to check whether the data series are stationary and examine the integration properties of the ...[24] cointegration test and Johansen and Juselius [25] maximum likelihood ...

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The relationship between money and prices in the maghreb countries: a cointegration analysis

The relationship between money and prices in the maghreb countries: a cointegration analysis

... From another context of causality, ( Boulila and Trabelsi, 2003) examined empirically the causality issue between financial development and economic growth in a bivariate VAR structure for a sample covering some MENA ...

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Fractional Cointegration Analysis of Securitized Real Estate

Fractional Cointegration Analysis of Securitized Real Estate

... fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving ...

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Reassessing the Integration of European Electricity Markets: A Fractional Cointegration Analysis

Reassessing the Integration of European Electricity Markets: A Fractional Cointegration Analysis

... This study extends existing literature on the assessment of electricity market integration in Europe, by developing and testing hypotheses on the convergence of electricity wholesale prices, and adopting a time-varying ...

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Income and Emission: A Panel Data based Cointegration Analysis

Income and Emission: A Panel Data based Cointegration Analysis

... of cointegration analysis on the set of cross-country panel data on income and emission for examining the nature of causality that may exist between this pair of variables, let us consider the following ...

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Omitted variables in cointegration analysis

Omitted variables in cointegration analysis

... on cointegration analysis, proposed by Johansen (1988, ...detecting cointegration or underestimation of the cointegrating ...asymptotic analysis is supplemented by a Monte Carlo experiment and ...

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COINTEGRATION ANALYSIS OF PRICE AND DEMAND OF GOLD IN INDIA

COINTEGRATION ANALYSIS OF PRICE AND DEMAND OF GOLD IN INDIA

... quantity. Cointegration and Causality analysis of the time series is carried out on 2505 observation on daily data from March 2006 to March ...series. Cointegration analysis suggest the ...

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Chinese Economic Growth and Visitors to Japan: A Bivariate Cointegration Analysis

Chinese Economic Growth and Visitors to Japan: A Bivariate Cointegration Analysis

... time. Cointegration analysis has been applied to international tourism demand; inbound tourism demand by Asemota and Bala (2012) for Japan, Dritsakis (2004) for Greece, Witt et ...

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Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis

Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis

... of cointegration suggested by Johansen (1988) and Johansen and Juselius ...of cointegration equation reveals that there is a long run association between the variables and this association can be expressed ...

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Foreign Aid and Economic Growth in Egypt: A Cointegration Analysis

Foreign Aid and Economic Growth in Egypt: A Cointegration Analysis

... Johansen's cointegration analysis to test the impact of foreign aid on economic growth in ...empirical analysis is composed of three ...Johansen's Cointegration test is used to determine the ...

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Bayesian Factorized Cointegration Analysis

Bayesian Factorized Cointegration Analysis

... factorized cointegration analysis as a straightforward and computationally efficient approach for cointegration test and ...series analysis for decades, the idea of incorporation of dynamic ...

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Cointegration Analysis of Agricultural Growth and Financial Inclusion in Ghana

Cointegration Analysis of Agricultural Growth and Financial Inclusion in Ghana

... Agriculture remains the foundation of economic growth for any economy ir- respective of their level of development. Being aware of the imperative role of finance in the endogenous growth model, it is admitted that access ...

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Oil Consumption and Economic Growth in Nigeria: A Multivariate Cointegration Analysis

Oil Consumption and Economic Growth in Nigeria: A Multivariate Cointegration Analysis

... Johansen cointegration test for cointegration ...using cointegration analysis and dynamic Error Correction ...Johansen cointegration by Maximum Likelihood Method section 4 explains the ...

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PERFORMANCE OF CAPITAL MARKETS IN THE EU AND IN TURKEY: COINTEGRATION ANALYSIS

PERFORMANCE OF CAPITAL MARKETS IN THE EU AND IN TURKEY: COINTEGRATION ANALYSIS

... of cointegration to disclose co-movements in stock market indices, it became possible to answer questions about the nature and strength of integration of financial markets in the European Union and in ...the ...

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Pensions and Growth: A Cointegration Analysis

Pensions and Growth: A Cointegration Analysis

... series analysis, particularly the techniques of ...empirical analysis confirms that improved technological capabilities constitute a very important determinant of growth in the context of neoclassical ...

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An aggregate import demand function for Turkey: a cointegration analysis

An aggregate import demand function for Turkey: a cointegration analysis

... This paper estimates an aggregate import demand function for Turkey during the period 1994:1- 2003:12. In our empirical analysis of the aggregate import demand function for Turkey, cointegration and error ...

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Energy and economic growth in G20 countries: Panel cointegration analysis

Energy and economic growth in G20 countries: Panel cointegration analysis

... Bildirici and Bakirtas (2014) have examined the link between coal consumption and economic growth for BRICTS countries.They found that there is no causal relationship between variables in Turkey. Nasreen and Anwar (2014) ...

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