cointegration and vector error correction
The Reasons for Foreign Exchange Reserves Accumulation in Hong Kong: A Cointegration and Vector Error Correction Approach
... the error correction model to investigate the foreign exchange reserves accumulation in China from 1950s to ...use cointegration method and Granger causality test to find that foreign exchange ...
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The Export Supply Model of Bangladesh: An Application of Cointegration and Vector Error Correction Approaches
... of cointegration, Engle-Granger causality and Vector Error Correction are applied to estimate the export supply ...The cointegration analysis shows that all the variables of the study ...
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Export Performance and Economic Growth in East Asian Economies – Application of Cointegration and Vector Error Correction Model
... In order to observe the relationship between exports and economic growth for East Asian economies during 1980-2012, this study constructed multivariate framework using the variables GDP per capita, exports, imports, ...
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Financial Cointegration and the Vector Error Correction Model: The Case of MENA Countries
... multivariate cointegration test to determine the number of cointegration vectors and Granger’s (1987) causality test to determine causality direction across ...The vector error ...
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TIME SERIES ANALYSIS ON EXPORTS AND ITS DETERMINANTS
... of cointegration and vector error correction estimation, the study provides the evidence of stationarity of time series variables, existence of long-run equilibrium relation between them, and ...
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Time Series Analysis and Forecast of GDP in Ethiopia: Evidence from Ethiopian Data
... VAR, Cointegration Analysis (testing of cointegration) and Vector Error Correction (VEC) Models are the statistical methods were used in this ...The vector autoregressive (VAR) ...
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Economic class and the distribution of income: A time series analysis of the UK economy, 1955-2010
... 1991) cointegration and vector error correction model (VECM) to examine the rate, and evolution of, surplus-value in the UK economy, driven as it is by changes in specific macroeconomic, ...
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Does Financial Growth lead Economic Performance in India? Causality Cointegration using Unrestricted Vector Error Correction Models
... Std. As per expectations and in tandem with the results of the correlation matrix, the dependent variable economic growth bears a significantly inverse relation with the financial acti[r] ...
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Article Title & Authors
... with cointegration test and ends with causality ...called cointegration test. In the second step, according to cointegration results, it is found that there is positive long-run relationship between ...
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Imports economic growth nexus: ARDL approach to cointegration
... to cointegration to explore long-run relation; and Granger procedure within Vector Error Correction Model (VECM) to test direction of causality between imports and economic growth for a sample ...
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External Debt and Domestic Investment in Pakistan: A Cointegration Analysis
... Luka and Spatafora (2012) analyze the determinants of, and relations between, capital inflows, domestic credit, and domestic investment in developing economies during the period of 2001-2007. Cross-sectional and panel ...
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... a cointegration and nonlinear causality relationships between inflation and repo rates of South Africa using the data spanning the period of January 2002 to March ...threshold vector error ...
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Do Agricultural Raw Materials Imports Cause Agricultural Growth? Empirical Analysis from North Africa
... Johansen's test results indicate the existence of 3 cointegration relationships between the 3 variables in the 3 countries. Since all the variables are co integrated in the 3 countries, the vector ...
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Time series analysis of interest rates volatility and stock returns in Ghana
... Johansen's cointegration procedure and the vector error correction model to examine the short run and long run dynamics of the relationship between interest rates and stock market ...
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The Long-Run Dynamic Relationship between Broad Money Supply and the GDP of Bangladesh: A VECM Approach
... If cointegration is detected between series we know that there exists a long-term equilibrium relationship between them so we apply VECM in order to evaluate the short run properties of the cointegrated ...
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Argentina: Feeding on food crisis?
... prices begin to soar. The first step of analysis is to investigate the integration properties of the series. For this end, the modified Dickey and Fuller (1979) test proposed by Elliott et al. (1996) is administered. ...
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Government Expenditure and Economic Growth in Nigeria: A Cointegration and Error Correction Modelling
... and error correction model for the period ...a Vector Error Correction Model indicated a unidirectional (one-way) causality, running from economic growth to capital expenditure and ...
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Financial Development, Economic Growth, and Electricity Demand: A Sector Analysis of an Emerging Economy
... Juselius cointegration test, VECM: vector error correction method Granger causality, ARDL: Autoregressive distributive lagged modeling, Y–T: Yamamoto–Toda Granger causality, Y: economic growth ...
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What Explains The Equity Risk Premium In ASEAN Countries?
... panel vector error correction model (VECM) through the latest version of ...One cointegration has been determined among macroeconomic variables and ERP suggesting a long term equilibrium ...
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Vector error correction modeling for indian gdp, export and import
... Johansen Cointegration test is the variables must be non-stationary at level but when convert all the variables into first difference then they will become ...
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