Results from Cointegration Analysis
Nonparametric cointegration analysis
... test results involved are presented in the separate appendix to this ...above results are typical for this data set or not, and which test performs better, we have conducted our nonparametric tests and ...
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The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study
... The second strand of the panel cointegration literature is based on panel extensions of VAR cointegration analysis (see Johansen, 1995). Compared to the single-equation methods sev- eral differences ...
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Omitted variables in cointegration analysis
... for cointegration when relevant variables are omitted from the SM, and therefore an analytical formulation of earlier Monte Carlo ...asymptotic results concerning the implications of omit- ted ...
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Cointegration Analysis in the Presence of Outliers
... too restricted model, r ≤ 1, is very powerful. This picture is confirmed by the results on the average distance between β and β . In the case of AOs the estimation model with an unrestricted dummy is not well ...
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Omitted variables in cointegration analysis
... for cointegration when relevant variables are omitted from the SM, and therefore an analytical formulation of earlier Monte Carlo ...asymptotic results concerning the implications of omit- ted ...
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Pensions and Growth: A Cointegration Analysis
... conclusive results without simplifying assumptions, these will be presented ...Apart from that, only one homogeneous good is produced with two essential production ...
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Explaining Cointegration Analysis: Part II
... 9.2. Rank determination As already mentioned, a correct choice of the cointegration rank is crucial for the analysis, but in practice, is far from easy. In many economic applications, the size of the ...
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Spatial Cointegration analysis in econometric Modelling
... SDF results, must be ...spatial cointegration methodology need further ...one cointegration vector, suggesting a spatial adoption of the Johansen ...
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A cointegration analysis of wine stock indexes
... data from William Edgerton’s wine price file over the period 1986-1996 to calculate the rate of return for holding red Bordeaux, including only wines produced from 1960 ...index. Results highlighted ...
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Cointegration Analysis with State Space Models
... processes, cointegration and polynomial cointegration are ...of cointegration analysis with state space models, where both structure theoretic as well as statistical aspects are ...render ...
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Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan
... data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and ...empirical results contribute to the existing empirical literature in two ...panel ...
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The Effects of Exchange Rate on Trade Balance in Vietnam : Evidence from Cointegration Analysis
... To determine the performance and/or adequacy of the ARDL model, diagnostic tests are conducted. We use a residual test in the form of the auto-correlation large range multiplier test. The existence of auto- correlation ...
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Cointegration Analysis of the Economic Growth, Military Expenditure, and External Debt: Evidence from Pakistan
... Conclusion This paper has estimated the impact of economic growth and military expenditure on external debt in the context of Pakistan using time series data from 1980-2008 by employing Johansen ...
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Money Demand and Inflation: A Cointegration Analysis for Canada
... The analysis have been carried out on quarterly data covering a time range going from June 1983:2 to March ...these analysis was to identify the optimal lag p in order to determine the number r of ...
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Fisher Hypothesis Revisited: A Fractional Cointegration Analysis
... process. Results for power factor, μ , equal to ...the results from fractional cointegration with those from conventional cointegration, the Engle-Granger two-step ...
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A Cointegration Analysis of Investment Output Ratio in Bangladesh
... the results from the various cointegration tests implemented by the study suggest that is a long run equilibrium relationship between investment output ratio, real output and real interest ...of ...
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Nonlinear Cointegration Analysis and the Environmental Kuznets Curve
... statistical analysis than standard linear cointegrating ...the results pre- sented in this ...nonlinear cointegration analysis, not only for EKC ...
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Rice Market Integration in Indonesia: a Cointegration Analysis
... Granger (cause) analysis applied to co integrated markets, to find central and regional markets. Test results show that most of rice prices arc stationary of order I. It is conclude[r] ...
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Nonlinear Cointegration Analysis and the Environmental Kuznets Curve
... The estimation results for (19) are presented for all countries in Table 12 for CO 2 emissions and in Table 13 for SO 2 emissions. For completeness we also report the OLS estimates, whose reported standard errors ...
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Cointegration Analysis of Financial Time Series Data
... The forward test results are displayed in Figure 7. The green line represents the equity curve and the red line the account balance (the initial balance was set to 0 so that a negative balance is possible). ...
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