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Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries
Chia, Ricky Chee Jiun; Lim, Shiok Ye; Ong, Sheue Li - In: Economics Bulletin 34 (2014) 3, pp. 1438-1447
Studies on long-run purchasing power parity based on rank test for nonlinear cointegration is limited. Therefore, to … is not only capable in the detection of cointegration, but can further distinguish linear from nonlinear relationship if … cointegration exists. In addition, this study also follows the suggestion by Liew et al. (2012) to solve the rank problem in testing …
Persistent link: https://www.econbiz.de/10010835860
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A wavelet analysis of oil price volatility dynamic
Benhmad, François - In: Economics Bulletin 31 (2011) 1, pp. 792-806
time scales. As traditional Granger causality test, designed to detect linear causality, is ineffective in uncovering … certain nonlinear causal relationships, we use the nonlinear causality test introduced by Péguin-Feissolle and Teräsvirta …
Persistent link: https://www.econbiz.de/10008861883
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Revisiting Purchasing Power Parity for Central Asian Countries Using Threshold Cointegration Tests
Liew, Venus khim-sen; Puah, Chin-hong; Choong, Chee-keong; … - In: Economics Bulletin 30 (2010) 2, pp. 1283-1292
cointegration tests. This finding suggests the existence of an asymmetry relationship between exchange rate and relative prices. The …
Persistent link: https://www.econbiz.de/10008577385
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Export and economic growth in Southeast Asia current Newly Industrialized Countries: Evidence from nonparametric approach
Lim, Shiok Ye; Ghazali, Mohd Fahmi; Ho, Chong Mun - In: Economics Bulletin 31 (2011) 3, pp. 2683-2693
Indonesia. With evidences of nonlinearities from cointegration test, nonparametric causality test based on rank series provides …-growth nexus in four current Newly Industrialized Countries by nonparametric methodology. Results from Breitung cointegration test … show existence of nonlinearities in the cointegration relationship of exports and economic growth in Malaysia, Thailand and …
Persistent link: https://www.econbiz.de/10009322476
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Financial development and economic growth: the case of ECOWAS and WAEMU
Afawubo, Komivi; Fromentin, Vincent - In: Economics Bulletin 33 (2013) 3, pp. 1715-1722
panel cointegration approach. We estimate a trivariate vector error correction model (VECM) to simultaneously assess the …
Persistent link: https://www.econbiz.de/10010835793
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Heteroskedastic Dynamic Factor Models: A Monte Carlo Study
Suren, Gijsbert; Moura, Guilherme - In: Economics Bulletin 32 (2012) 4, pp. 2884-2898
We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.
Persistent link: https://www.econbiz.de/10011278767
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Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data
Dama, Marcel die; Epo, Boniface ngah; Soh, Galex syrie - In: Economics Bulletin 33 (2013) 1, pp. 625-634
This paper provides an estimation method for a two way error component regression model where the time-varying disturbances are serially correlated, following a special AR (4) process for quarterly data. The variance-covariance matrix of the compound error terms and its spectral decomposition...
Persistent link: https://www.econbiz.de/10011278806
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Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity
Hamori, Shigeyuki; Hashiguchi, Yoshihiro - In: Economics Bulletin 32 (2012) 3, pp. 2353-2365
This paper used Monte Carlo simulations to analyze the small sample properties of cross-sectionally augmented panel unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional and ARCH) in the unobserved common factor and...
Persistent link: https://www.econbiz.de/10011278816
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Gender based within-household inequality in immunization status of children: some evidence from South Asian countries
Konstantakis, Konstantinos N.; Michaelides, Panayotis G. - In: Economics Bulletin 35 (2015) 2, pp. 871-877
Using households with a pair of male-female siblings from DHS surveys, this paper estimates gender based within-household inequality in immunization status of children (aged 1-5 years) from Bangladesh, India, Nepal and Pakistan. I find substantial level of gender based within-household...
Persistent link: https://www.econbiz.de/10011249521
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The fractional integrated bi- parameter smooth transition autoregressive model
Montasser, Ghassen El; Ajmi, Ahdi Noomen - In: Economics Bulletin 32 (2012) 1, pp. 755-765
This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...
Persistent link: https://www.econbiz.de/10009651205