Cointegration test using the Johansen approach
A Johansen Cointegration Test for the Relationship between Remittances and Economic Growth of Japan
... Keywords: remittance, GDP growth rate, Johansen Cointegration Test, short run, long run, developed countries, granger causality test 1. Introduction There are a number of benefits of ...
15
The impact of government expenditure on economic growth in Ethiopia: an empirical analysis using Johansen Cointegration approach
... The results from the long run estimation indicate that the real government spending on human capital formation , real private investment spending and real opennes s have positive and sig[r] ...
73
Keywords: Baltic stock markets, unit root, Engle-Granger approach, Johansen cointegration test, causality, impulse response, variance decomposition.
... the cointegration analysis has been ...the cointegration test the investigating time series have firstly been tested for the presence of a unit root and the following three unit root tests (ADF, PP, ...
50
Further evidence on the size and power of the Bierens and Johansen cointegration procedures
... systems cointegration tests, Hubrich, Lütkepohl, and Saikkonen (2001) conclude from Monte Carlo methods that the Johansen and the Bierens tests both have good size properties, and that the Johansen ...
13
Stationarity and cointegration tests: Comparison of Engle Granger and Johansen methodologies
... The cointegration results of eqs (22), (23) and (24) are given in Table ...no cointegration relation among variables of Canada, India and Japan equations and that α 3 of Germany, α 2 of Italy and USA ...
12
The Long-Run Impact of Bank Credit on Economic Growth in. Ethiopia: Evidence from the Johansen s Multivariate. Cointegration Approach
... casualty test between financial indicators and economic ...periods using quarterly data in order to draw iberalization measures promote rapid and sustainable economic growth in ...
14
Johansen Cointegration-Granger Causality Model Relationship between IDR and BATH Currency
... the Johansen cointegration and Granger ...with using granger test at the rate lags 1-10, 15-20 lags the data using the exchange rate has a one-way ...
8
Import Price and Activity Elasticities for the MONASH Model: Johansen FIML Estimation of Cointegration Vectors
... the Johansen cointegration tests are reported in Table ...the Johansen procedure, we need to select the length of the lag in the ...lags using standard likelihood ratio tests 7 . Using ...
36
Do Macroeconomic Variables Influence Domestic Stock Market Price Behaviour in Emerging Markets? A Johansen Cointegration Approach to the Botswana Stock Market
... the cointegration technique to measures validity of long-term equilibrium between ...(2000) using cointegration and error correction approaches investigate the impact of both domestic and foreign ...
10
Trade Sustainability in the Forestry Domain: Evidence from Malaysia using Johansen and Bound Test Method
... first approach is to examine whether exports and imports are cointegrated, the same approach that we intend to employ in this ...second approach to examine the sustainability of external imbalances ...
10
Trade Sustainability in the Forestry Domain: Evidence from Malaysia using Johansen and Bound Test Method
... To test the robustness, Johansen (1991) cointegration method and ARDL approach were employed and the period of the study covers annual data from 1961 to ...Bounds test as ...
10
Testing for time varying fractional cointegration using the bootstrap approach
... Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann ...fractional cointegration was introduced to generalize the traditional ...
11
Effectiveness of the National Credit Act of South Africa in reducing household debt: A Johansen cointegration and vecm analysis
... the Johansen Co-integration tests with the Granger-type causality test model with a one period lagged error correction term ...The Johansen co-integration test is not enough to describe fully ...
14
The Error Correction Model as a Test for Cointegration
... the test suffering in finite samples when one tries to impose potentially invalid common-factor ...alternative test based on the joint significance of the levels terms in an error correction ...our ...
20
Are bootstrapped cointegration test findings unreliable?
... bootstrap test approaches in the larger ...no cointegration, but by simulation we find that they display very low power, such that the (bivariate) partial-system approach is still ...trace ...
14
A Jackknife correction to a test for cointegration rank
... jackknife-corrected test statistic for cointegration rank. The approach is far less demanding, computationally, than bootstrap methods and does not require an explicit analytical derivation of an ...
21
DETERMINANTS OF INFLATION IN PAKISTAN: AN ECONOMETRIC ANALYSIS USING JOHANSEN CO-INTEGRATION APPROACH►Furrukh Bashir,
... Email: [email protected] ABSTRACT Inflation is regarded as regressive taxation against the poor. The most visible impact of inflation in recent times is its effect on real output, relative prices, taxes and ...
12
Cointegration: The Engle and Granger approach
... The problem is that the t-test of =0 is not N(0,1) even asymptotically. The standard asymptotic distribution theory does not apply when variables have unit root. So, it is important to discriminate between two ...
7
Pairs Trading: A Cointegration Approach
... distance approach Under the distance approach, the co-movement in a pair is measured by what is referred to as the distance, or the sum of squared differences between the two normalized price ...a ...
130
Determinants of Private Saving in Ethiopia: Johansen Co-Integration Approach
... Saving has its own effect on economic growth and thus needs a more vigorous work being done about. In addition, in the pursuit of studying saving, the core point to be focused will be its determinants. Therefore, the ...
9