Unit Root and Cointegration Analysis
Are Foreign and Public Investment Spending Productive in the Argentine Case? A Single Break Unit Root and Cointegration Analysis, 1960 2010
... (Zivot-Andrews) unit root and cointegration analysis suggest that (lagged) increases in public investment spending on economic and social infrastructure have a positive and significant effect ...
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The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and Cointegration Analysis
... break unit root test. Following the Engle-Granger cointegration analysis framework, a long- run stable relationship between the three-month forward exchange rate and the future spot rate is ...
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Exploring the finance real economy link in U S : Empirical evidence from Panel Unit Root and Cointegration Analysis
... The presence of unit roots in our data series and the existence of cointegration between these roots imply a form of error correction representation. This provides an opportunity to determine the long-term ...
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Pensions and Growth: A Cointegration Analysis
... a unit root test suggested by Phillips and Perron ...the cointegration order 5 is determined by the Johansen Trace test for three different models: One simple model with and as variables, another ...
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Money Demand and Inflation: A Cointegration Analysis for Canada
... The data have been collected on a quarterly horizon for the period ranging be- tween June 1983:2 to March 2011:2. The total number of observation equals 112. 1 Relaying on the literature we can expect our variables to be ...
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A Cointegration Analysis of Investment Output Ratio in Bangladesh
... DF_GLS unit root tests indicate that the investment output ratio, real output and real interest rate are first difference ...Johansen cointegration tests suggest that the investment output ratio, ...
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Human activities and global warming: a cointegration analysis
... The acceptation that time series of greenhouse gases contain I(2) trends is also present in Stern and Kaufmann (1999, 2000). In both papers, the authors apply a multivariate structural time series approach to model ...
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Fisher Hypothesis Revisited: A Fractional Cointegration Analysis
... on unit roots and cointegration techniques designed to uncover long-run relations in the ...mainly cointegration techniques developed by Engle and Granger (1987) and Johansen (1988) to test for ...
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COINTEGRATION ANALYSIS OF PRICE AND DEMAND OF GOLD IN INDIA
... novel unit root testing procedure for gold with inflation is employed by Worthington et al (4) after taking the endogenously determined structural breaks into ...
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Bayesian Factorized Cointegration Analysis
... the cointegration relationship between the time series, among inference of other unknown ...of root structures and factor loading ma- trix after a 5000 burn-in, the posterior probability that the rank of ...
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Explaining Cointegration Analysis: Part II
... The reader who has followed both parts of our overview in their entirety has traveled a long route. We have explained the many concepts, and the associated language of the ‘unit-root’ revolution in ...
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Explaining Cointegration Analysis: Part II
... The reader who has followed both parts of our overview in their entirety has traveled a long route. We have explained the many concepts, and the associated language of the ‘unit-root’ revolution in ...
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Using Unit Root and Cointegration Techniques to study for Evidence of Inter Relationship among the Sensex and Selected International Indices
... or more powerful economies of the world) on those from other nations. At a conceptual level this is to be expected since share market participants in the latter will naturally look towards the former for deducing the ...
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A Perspective on Unit Root and Cointegration in Applied Macroeconomics
... statistical analysis, but it is very difficult to tell the difference between different types of ...with unit roots, whose regressions have non-standard limiting ...
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Residual Augmented Fourier ADF Unit Root Test
... Recently, unit root tests have been introduced into the literature based on nonlinear models (see Leybourne et ...2012) unit root tests were introduced to the literature with the Fourier ...
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Nonlinearly testing for a unit root in the presence of a break in the mean
... In this paper it is shown that the Perron-type equations which are commonly used to test time series with a structural break for a unit root are, in fact, a linear approximation of nonlinear models. Using ...
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A New Nonlinear Unit Root Test with Fourier Function
... Christopoulos and Leon-Ledesma (2010) suggest a unit root test that account jointly for structural breaks and nonlinear adjustment. They modeled structural breaks by means of a Fourier function. They also ...
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Impact of Model Specification Decisions on Unit Root Tests
... of unit root ...average root on unit root tests and they suggest including sufficient lags in autoregressive specification in augmented Dickey Fuller test which can approximate any ...
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Jackknife bias reduction in autoregressive models with a unit root
... a unit root, as well as the prevalence of such models in theoretical work in time series statistics and econo- metrics, it is therefore of interest to investigate whether the jackknife techniques described ...
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Testing for a Deterministic Trend when there is Evidence of Unit Root
... of unit root, whereas the CS06 test does reject the null; the CS06 test rejects the null because one or more of the constraints related to the slope or the slope shift are not met, and not necessarily ...
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