A study of cointegrating models with applications
This study estimates cointegration models by applying the Engle-Granger (1989) two-step es-timation procedure, the Phillip-Ouliaris (1990) residual-based test and Johansen's multivariatetechnique. The cointegration techniques are tested on the Raotbl3 data set, the World EconomicIndicators data set and the UKpppuip data set using statistical software R. In the Raotbl3 dataset, we test for cointegration between the consumption expenditure, and income and wealth vari-ables. In the world economic indicators data set, we test for cointegration in three of Australia'skey economic indicators, whereas in the UKpppuip data set we test for the existence of long-runeconomic relationships in the United Kingdom's purchasing power parity. The study nds thethree techniques not to be consistent, that is, they do not lead to the same results. However, itrecommends the use of Johansen's method because it is able to detect more than one cointegratingrelationship if present.
Year of publication: |
2011-06
|
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Authors: | Ssekuma, Rajab |
Other Persons: | Jankowitz, M.D. (contributor) |
Subject: | Cointegration | Stationarity | Jansen's methods | Quliaris methods |
Saved in:
freely available
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