Showing 1 - 10 of 21
We investigate the relationship between exports and productivity in the Turkish apparel and motor vehicle and parts industries from 1990-1996, using two different models for plant-level panel data. In the first model, we examine the effect of past export status on current productivity both with...
Persistent link: https://www.econbiz.de/10005702602
application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …
Persistent link: https://www.econbiz.de/10005328904
This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...
Persistent link: https://www.econbiz.de/10005328935
the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …
Persistent link: https://www.econbiz.de/10005342144
cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …
Persistent link: https://www.econbiz.de/10005342164
This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …
Persistent link: https://www.econbiz.de/10005342277
-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …
Persistent link: https://www.econbiz.de/10005342342
This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...
Persistent link: https://www.econbiz.de/10005086413
This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares methods in the presence of conditional...
Persistent link: https://www.econbiz.de/10005086429
rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …
Persistent link: https://www.econbiz.de/10005063654