Cointegration Techniques
Testing the long run implications of the expectation hypothesis using cointegration techniques with structural change
... use cointegration techniques to test the expectation ...The cointegration hypothesis is tested using Johansen cointegration ...the cointegration vector is equal to the spreads and this ...
17
Using Unit Root and Cointegration Techniques to study for Evidence of Inter Relationship among the Sensex and Selected International Indices
... Engel-Granger cointegration test for measuring the long-term relationship among the the variables and the Granger causality test for evaluating the short-term causal relationship He concludes that there is a ...
5
The effects of real exchange rate misalignment and real exchange volatility on exports
... We studied the effects of REER misalignment and REER volatility on exports for 42 developing countries from 1975 to 2004. Using new developments on panel data cointegration techniques, we found that both ...
26
Sensitivity of Trade Balance to Exchange Rate Depreciation: Evidence from Indo-U.S. Bilateral Trade
... However, a study by Petrovic and Grigoric (2010) exhibits the J-curve pattern of trade balance in Serbia for exchange rate depreciation. This study estimated VAR model. Adeniyi et al. (2011) ARDL methodology investigated ...
13
Purchasing power parity and free trade area
... panel cointegration techniques proposed by Pedroni (1999, 2004) to evaluate the effectiveness of various regional trade agreements by examine the goods market integration between trading partners using ...
10
The Saving Investment Dynamics And Financial Sector Reforms in India
... Employing the ARDL and ECM cointegration techniques, the empirical evidence shows a fairly robust long-run relationship between domestic saving and investment rates, consistent with the [r] ...
20
The relationship between energy consumption, financial development and economic growth: an evidence from Malaysia based on ARDL
... (ARDL) cointegration technique or bound test of cointegration (Pesaran et ...(1990) cointegration techniques have become the solution to determining the long run relationship between series ...
27
Testing Wagner's Law for The Gambia, 1977 2013
... econometric techniques. Cointegration techniques of ARDL and Johansen and Juselius (1990) are used to unveil the long run relationship between the variables as well as estimate the long run ...
20
Survey of Money- Output Causality: Case Study of Iran, Based on Vector Error Correction Model (VECM)
... uses cointegration techniques to test the neutrality of money by using data for three variables of money supply ,output and prices ...estimating cointegration relationship between variables,the ...
18
Volume 36 - Article 42 | Pages 1255–1298
... panel cointegration techniques to analyze the impact of different socioeconomic variables on fertility in the long term (Hondroyiannis and Papapetrou 2002, 2005; Narayan and Peng 2006; Hondroyiannis 2010; ...
46
Microeconomic Gasoline Consumption Anomalies in Mexico: 1997-2007
... using cointegration techniques, find that demand for gasoline in China is relatively inelastic to price changes, both in the short-run and in the ...
14
Re examining Turkey's trade deficit with structural breaks: Evidence from 1989 2011
... including techniques allowing for structural ...applied cointegration techniques with structural breaks to Turkey’s international trade data have concluded that exports and imports are cointegrated, ...
18
Empirical Analysis of The EKC Hypothesis for Sulfur Dioxide Emissions in Selected Middle East and North African Countries
... Our study extends the recent works of Liu 2005 and Ang 2007 and Apergis and Payne 2009 by implementing recent bootstrap unit root tests and panel cointegration techniques to investigate [r] ...
22
Electricity Demand in MENA Countries: A Panel Cointegration Analysis
... panel cointegration test and using the three group-based test ...panel cointegration among the variables for the MENA ...panel cointegration at either the 5% or 1% level of ...
12
Analysis of the Relationship between Oil, Gold and Inflation: A case study of Pakistan
... The cointegration test governs which type of the regression either VAR or VECM model is ...of cointegration built into the specification, VEC model is used to manage non stationary time series that must be ...
7
The role of renewable energy and agriculture in reducing CO2 emissions: evidence for North Africa countries
... seven cointegration tests proposed by Pedroni (2001, ...no cointegration among analysis variables, while the alternative hypothesis suggests that variables are ...no cointegration ( ρ i = 1 ) is ...
19
Macro determinants of remittance: Relationship between remittance and economic growth in Bangladesh
... To examine the relationship between GDP and remittances the ECM mechanism is used in this study, as cointegration tests detailed in previous section revealed that the variables in our analysis are cointegrated of ...
11
Cointegration Models Applied For Portugal’s Energy Consumption, Inward FDI and GDP Series (1980 2007)
... different cointegration regression techniques, considered more appropriate for estimation purpose in case of small samples, such as the Engle and Granger (1987) two-step procedure, Stock and Watson (1983) ...
25
Relationship between exports, imports, and economic growth in France (1990 2018)
... Results of two cointegration test confirmed the there was not any cointegrated relationship between GDP and exports / imports in the long run. Thus, our result supports the literature that did not find any ...
13
Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return
... periodic cointegration, which enables the seasonal variation of the cointegration vector, called periodic cointegration (Boswijk & Franses, 1995); fractional cointegration, in which ...
10