The Granger causality test is reduced, after co-integration, to the test of the fact that some coefficients of linear regressions are equal to zero or not. In this paper we will build multi-variate Bayes tests for the signification of the parameters of linear regression provided by the above...

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent when applied to our inference...

In a panel data model with fixed effects, possible cross-sectional dependence is investigated in a spatial autoregressive setting. An Edgeworth expansion is developed for the maximum likelihood estimate of the spatial correlation coefficient. The expansion is used to develop more accurate...

The cleanup of the Mediterranean region constitutes one of the main chapters carried by the cooperation between both north and south banks within the framework of the Union for the Mediterranean (UfM). The subject of this paper is to study the relationship between CO2 emissions and economic...

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...

In this work we proposed to analyze the problem of individual heterogeneity in panel data and implement resolution to verify the role of foreign trade on economic growth in Sub-Saharan Africa. The purpose was to verify improvement in terms of specification and estimation of economic growth...

We identify fiscal impulses in the EU New Member States using four different methods and apply econometric panel data techniques to determine what is the response of output and its components to those impulses. We also directly test the effects of fiscal impulses on labor costs and households’...

The purpose of this paper is to investigate the relationship between macroeconomic parameters like Exchange rate and foreign institutional investment with stock returns in India, in particular at National Stock Exchange. I find that both stock returns and exchange rate are integrated of order...

In this paper the issue of causality between wages and prices in UK has been tested. OLS relationship between prices and wages is positive; productivity is not significant in determination of prices or wages too. These variables from these statistics we can see that are stationary at 1 lag, i.e....