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Is double trouble? How to combine cointegration tests
Bayer, Christian; Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … for cointegration to the same data set. …
Persistent link: https://www.econbiz.de/10009216329
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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005
periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …
Persistent link: https://www.econbiz.de/10010851169
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A wavelet approach to multiple cointegration testing
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …
Persistent link: https://www.econbiz.de/10011004134
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A Test for the Null of Multiple Cointegrating Vectors
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables.  Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …
Persistent link: https://www.econbiz.de/10011004208
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Is economic growth sufficient for poverty alleviation? Empirical evidence from Malaysia
Mulok, Dullah; Kogid, Mori; Asid, Rozilee; Lily, Jaratin - In: Cuadernos de Economía - Spanish Journal of Economics … 35 (2012) 97, pp. 26-32
Malaysia’s success story has been highlighted by the remarkable social transformation and poverty reduction accompanying rapid economic growth. Some three decades ago, more than half of the population was poor, the number of illiterates was high, and the average person could only hope to live...
Persistent link: https://www.econbiz.de/10010929569
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Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina
Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015
Monthly time-series data based on agricultural commodities tend to present strong and particular patterns of seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of actual features of agricultural processes. Seasonal unit...
Persistent link: https://www.econbiz.de/10011266121
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Likelihood-Based Inference in Multivariate Panel Cointegration Models
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is...
Persistent link: https://www.econbiz.de/10005207209
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The Role of Economic Theory in Modelling the Long Run.
Pesaran, M.H. - Faculty of Economics, University of Cambridge - 1996
This argues for a closer link between the modelling of the long-run relations in applied economics and the intertemporal equilibrium notion from economic theory.
Persistent link: https://www.econbiz.de/10005207813
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Paradoja Feldstein-Horioka: el caso de México (1950-2007)
Ríos, Víctor-Hugo Alcalá; Zaldívar, Manuel Gómez; … - In: Estudios Económicos 26 (2011) 2, pp. 293-313
perfect capital mobility. We study the savings-investment relationship in Mexico from 1950 to 2007 by means of a cointegration …
Persistent link: https://www.econbiz.de/10010550179
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Temporal Causality between Human Capital and Real Income in Cointegrated VAR Processes: Empirical Evidence from China, 1960-1990
Narayan, Paresh Kumar; Smyth, Russell - In: International Journal of Business and Economics 3 (2004) 1, pp. 1-11
This article examines the causal relationship between human capital and real income using data for China from 1960 to 1999. In the long run there is unidirectional Granger causality running from human capital to real income, while in the short run there is unidirectional Granger causality...
Persistent link: https://www.econbiz.de/10010837252