johansen test
ECONOMIC GROWTH AND CREDIT IN INDIA
... The study investigates the relationship between credit and GDP for different sectors of the Indian econ- omy. An attempt has been made to estimate whether a long term co-integration relationship exists between credit ...
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The dynamic interrelationship between interest rate and macroeconomic policy objectives: case of the United Kingdom
... to Johansen (1988), the Johansen test can be observed as a multivariate generalization of the augmented Dickey-Fuller ...The Johansen test and estimation strategy – maximum likelihood – ...
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Determinants of Economic Growth in Syria between 1980 and 2010
... the Johansen cointegration test will be applied to establish whether there is any long-run or equilibrium relationship between the variables in the ...the Johansen test results indicate no ...
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Modelling Government Expenditure Poverty Nexus for Ghana
... the Johansen test (JH), Vector Error Correction (VECM) test, and the Ordinary Least Square (OLS), it is found that poverty incidence positively correlated with government ...
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Causality between Exports and Economic Growth: Investigating Suitable Trade Policy for Pakistan
... 1990s. Johansen test of Cointegration and Granger Causality employed to determine short run and long run ...Causality test show short run and long run causality run from GDP to ...
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A Cointegration Test for Turkish Foreign Exchange Market Efficiency
... validate Johansen test results, because Johansen tests can result in incorrect inferences about ...the Johansen and Juselius (1990) multivariatecointegration technique to test for ...
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The Impact of Compensation Growth on Inflation Rate and Unemployment
... An overall analysis of the obtained results indicates that Bulgaria recorded highest causality and cointegration relationship between unemployment / inflation rate and compensation of employees. We also note the ...
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CO-INTEGRATION OF INDIAN STOCK MARKET WITH US STOCK MARKET
... paper, Johansen test is employed to examine the ...This test is preferable than the Engle–Granger test as it permits more than one cointegrating ...of Johansen co-integration ...
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On the relationship between business cycle and college enrollment in the U.S.: a time series approach
... bounds test and Johansen test for cointegration showed a stable long-run cointegrating relationship among unemployment rate, per capita GDP, and college ...
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Costly arbitrage and asset prices: evidence from closed end funds
... a Johansen test for cointegration of retail flows to open-end funds and the discount on closed-end funds in the same investment sector, using monthly data over the period January 1992 to March ...
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Whether Change in Government in India has Any Role in the Co-integration of Developed Economies and Indian Stock Market?
... From the table, JJ Test results it can be inferred that there is a cointegrating relationship between India and other four selected markets viz.,US, Germany, France and Japan. This inference is supported by both ...
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Revisiting the Tourism-Led Growth Hypothesis in a Dual Model Using Mwald Granger Causality Analysis
... the Johansen multivariate co-integration approach uncovers the long-run co-integration information, it does not reveal the causal ...causality test developed by Toda and Yamamoto (1995) in order to explore ...
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Foreign Aid and Economic Growth in Egypt: A Cointegration Analysis
... using Johansen Cointegration test and Vector Error Correction Model (VECM), the paper finds a negative and significant impact of foreign aid on economic growth in the long and short ...
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Robust Global Stock Market Interdependencies
... inadequate test specification, in particular in how they account for heteroskedasticity, is addressed in this ...recent test for cointegration under the assumption of ARCH style ...This test, ...
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Trade Balance Analysis in Zimbabwe: Import and Export Examination Using Vector Auto Regression Model
... The paper concentrated on trade balance analysis in Zimbabwe. The trend of imports and exports have been observed and analysed, paying particular attention to significant observed patterns for the period under study. The ...
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The Stability Of The Money Demand Function In South Africa: A VAR-Based Approach
... Given this background, this study aims to establishing the money demand function in South Africa, also taking into account the changes that have taken place in the financial sector. It is also important to note that ...
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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 ...
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Does Existence of Long Run Relationship Ensure Predictability of Exchange Rate? Empirical Analysis of Indian Rupee Vis à Vis US Dollar under Monetary Model Framework
... The Granger Causality test for the second period revealed a switch in direction of causality among the va- riables when compared to the initial sub period. During the second sub period there was one-way causality ...
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Determinants of industrial output in Syria
... root test to deter- mine whether the time series data are stationary at levels or first ...the Johansen multivariate cointegration test will be used to determine whether there is any long-run or ...
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Wagner in Ireland: An Econometric Analysis
... we test in both current and constant prices. We test in current prices because expenditure decisions are made in nominal terms, and we test in real variables because the polity’s sense of welfare, of ...
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