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This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the...
Persistent link: https://www.econbiz.de/10011453075
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...
Persistent link: https://www.econbiz.de/10010208785
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms …
Persistent link: https://www.econbiz.de/10011523113
Persistent link: https://www.econbiz.de/10013260145
The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration …
Persistent link: https://www.econbiz.de/10014466537
-stationary variables. Focusing on cointegration issues, some methodological aspects ere discussed, attempting to integrate coherently the … several steps of the modelling strategy. These range from unit to cointegration testing and to testing for instability in the … cointegration vector. An empirical example with Portuguse data tries to illustrate the usefulness of this approach, where a simple …
Persistent link: https://www.econbiz.de/10014194994
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10014203187
Luetkephol (2000) cointegration approach is then employed to determine the long-run drivers of economic growth. This … cointegration technique accommodates potential structural breaks that could undermine the existence of a long-run relationship …
Persistent link: https://www.econbiz.de/10014215537
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/10014217224