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Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa
Aye, Goodness C.; Balcilar, Mehmet; Dunne, John P.; … - Department of Economics, Faculty of Economic and … - 2013
relationship, applying newly developed econometric methods. Taking annual data from 1951 to 2010 and using full sample bootstrap … instability tests, the estimated VARs are found to be unstable and when a bootstrap rolling window estimation procedure is used to …
Persistent link: https://www.econbiz.de/10010699250
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Housing and the Business Cycle in South Africa
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013
full sample bootstrap Granger causality tests, we find a uni-directional causality from output to number of building plans …-sample Granger causality inference may be invalid. Hence, we use a bootstrap rolling window estimation to evaluate Granger causality …
Persistent link: https://www.econbiz.de/10010748379
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Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach
Nyakabawo, Wendy; Miller, Stephen M.; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2013
.S., using the bootstrap Granger (temporal) non-causality test and a fixed-size rolling-window estimation approach. We use … full-sample bootstrap non-Granger causality test result suggests the existence of a unidirectional causality running from … cannot rely on the full-sample causality tests and, hence, this warrants a time-varying (bootstrap) rolling-window approach …
Persistent link: https://www.econbiz.de/10010891729
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Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach
Aye, Goodness C.; Balcilar, Mehmet; Montasser, Ghassen El; … - Department of Economics, Faculty of Economic and … - 2014
bootstrap rolling window approach will account for potential time variations in the relationships. We use monthly time series … varies over time i.e. significance in episodes of high values of index. The full sample bootstrap non-Granger causality test … use of the bootstrap rolling window (24 months) approach to investigate the changes in the in-sample predictability of the …
Persistent link: https://www.econbiz.de/10010781439
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Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach
Dlamini, Janneke; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013
the period 1971-2009 using annual data and takes into consideration time variation in causal relationships using bootstrap … therefore findings from our full-sample Granger causality test cannot be relied upon. This motivates the use of bootstrap …
Persistent link: https://www.econbiz.de/10010676289
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The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
Li, Xiao-lin; Balcilar, Mehmet; Gupta, Rangan; Chang, … - Department of Economics, Faculty of Economic and … - 2013
bootstrap Granger full-sample causality test and sub-sample rolling window estimation. We use monthly data covering from 1995 …:02 to 2013:02 for China and 2003:02-2013:02 for India. The bootstrap full-sample Granger causality test suggests no evidence … propose a time-varying (bootstrap) rolling window approach to revisit the dynamic causal relationship between the two …
Persistent link: https://www.econbiz.de/10010755816
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Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
Emirmahmutoglu, Furkan; Gupta, Rangan; Miller, Stephen M.; … - Department of Economics, Faculty of Economic and … - 2014
This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data estimation. Including nonlinearity and asymmetry finds...
Persistent link: https://www.econbiz.de/10011095430
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Testing for Multiple Bubbles in the BRICS Stock Markets
Chang, Tsangyao; Ranjbar, Omid; Gil-Alana, Luis A.; … - Department of Economics, Faculty of Economic and … - 2014
In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...
Persistent link: https://www.econbiz.de/10011274361
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Half-Life Deviations from PPP in the SADC
Mokoena, Thabo; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2008
This paper utilises various recently developed econometric methods to obtain better approximations to the half-life for real exchange rates of ten South African Development Community (SADC) countries and to generate confidence intervals for half-life deviations from the purchasing power parity...
Persistent link: https://www.econbiz.de/10005773182
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Time-Varying Persistence in US Inflation
Caporin, Massimiliano; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Also, not only is the level of inflation persistence that is...
Persistent link: https://www.econbiz.de/10011095454