Westerlund panel cointegration test
Sustainability of current account balances in small states
... generation panel unit root tests and panel cointegration test, but instead the cross-sectionally augmented Im-Pesaran- Shin (CIPS) test by Pesaran (2007) and the error-correction-based ...
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The Feldstein –Horioka Puzzle and structural breaks: Evidence from the largest countries of Asia
... of Westerlund (2006) has been employed. This is a panel cointegration test that accommodates multiple structural breaks in the level as well as in the trend of cointegrated ...the panel ...
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Energy and economic growth in G20 countries: Panel cointegration analysis
... homogeneity test, Pesaran (2004) Cross- Sectional Dependence (CD) Test and Pesaran (2007) cross-sectionally augmented Dickey- Fuller (CADF) unit-root ...examine cointegration among variables, we have ...
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Testing for cointegration in dependent panels via residual based bootstrap methods
... a test for panel cointegra- tion in dependent panels based upon a residual based unit root test recently proposed by Parker, Paparoditis and Politis ...The test procedure is shown by ...
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Testing Panel Cointegration with Unobservable Dynamic Common Factors
... Panel cointegration with cross-section dependence has important empirical ...(2005) test the PPP hypothesis using panel cointegration tech- niques that allow for common ...rates. ...
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Savings and Investments in the OECD, 1970 2007: a Panel Cointegration test with breaks
... general test, allowing for changes in the cointegrating ...(no) cointegration tests with breaks have many short- ...available panel cointegration tests ...2009, Westerlund, 2006a,b) ...
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Climate change impacts on agriculture: A panel cointegration approach and application to Tunisia
... then test for the existence of a long-run relationship among the ...(2004), panel cointegration tests can be largely oversized in the presence of cross-unit long- run ...of cointegration, ...
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Panel Cointegration and the Monetary Exchange Rate Model
... previous panel based studies of the monetary exchange rate ...developed panel tests to the same data used by Mark and Sul (2001). To test the order of integration of the variables, we apply the ...
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Assessing Fiscal Sustainability for SAARC and IMT GT Countries
... of panel cointegration ...of cointegration tests in a large-scale simulation study including the tests developed by (Pedroni 1999, 2004; Westerlund, 2005; Larsson et al, 2001; and Breitung, ...
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Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe
... The panel fully modified ordinary least square (PFMOLS) and the Panel Dynamic Ordinary Least Square (PDOLS) estimation techniques allow only for estimating long-run ...Hausman test, and then run the ...
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Relationship between Remittance, Export, Foreign Direct Investment and Growth in South Asia: A Panel Cointegration and Causality Analysis
... residual-based cointegration tests. Hence, the panel cointegration test proposed by Westerlund (2007), in addition to the Pedroni (1999) tests, is used to examine the long-run ...
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Exchange Rate Volatility and Investment, A Panel Data Cointegration Approach
... in panel data cointegration are the DOLS (Dynamic Ordinary Least Squares),Kao and Chiang (2000),Mark and Sul (1999), Pedroni (2001),PMGE (Pooled Mean Group Estimator), Pesaran, Shin and Smith (1999), and ...
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Financial Integration of North Africa Stock Markets
... Johanson’s test needs to be treated with caution since results in table (3) indicates the distribution of stock price changes do not support the normality assumption, and exhibit fat tailedness and high peaks ...
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Geographic Statistical Analysis of the Relationship between Foreign Aid and Foreign Investment
... of cointegration and the introduction of an error-correction mechanism in the ...the panel cointegration tests of Pedroni (1999) and Westerlund (2007), which account for a potential integrated ...
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Bank credit and economic growth: An empirical evidence from Indian states
... large panel data of 21 Indian states (excluding North-East States) for the period of 2000-01 to ...level panel studies are made in India context in the bank credit and economic growth nexus literature in ...
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Is Gold Investment a Safe Haven or a Hedge for the Malaysian Inflation?
... linearity test, this study can now use TVECM analysis to determine the level of threshold for the ...causality test where the Wald coefficient test is ...causality test should be determined ...
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Does income inequality contribute to credit cycles?
... of panel cointegration tests based on the model (1) are presented in table ...19 test statistics in table 2 find that the series of top 1% income share and credit to real GDP are cointegrated of ...
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Heterogeneity of Saving Investment Causality and Fiscal Coordination Implication: The Case of an African Monetary Union
... Granger test and on analysis of impulse response functions to validate the hypothesis of Keynesian "paradox of thrift" on ...to test the theoretical hypothesis that one of the channels through which ...
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A Residual Based Cointegration test with a Fourier Approximation
... residual-based cointegration test in the presence of smooth structural changes approximated by a Fourier ...The test offers a simple way to accommodate unknown number and form of structural breaks ...
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Volume 24 - Article 30 | Pages 749–770
... (i.e., cointegration) among STIRPAT variables, as well as the likely endogeneity among them, is particularly appropriate since such variables are believed to be interrelated and mutually causal according to a ...
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