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Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

Persistent link: https://www.econbiz.de/10009957378

Cycles inside cycles : Spanish regional aggregation

Gadea, Maria Dolores; Gómez-Loscos, Ana; Montañés, … - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 4, pp. 423-456

This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they...

Persistent link: https://www.econbiz.de/10010078111

An empirical investigation of the relationship between stock return and trading volume : evidence from the Jordanian banking sector

Al-Jafari, Mohamed Khaled; Tliti, Ahmad - In: Journal of applied finance & banking 3 (2013) 3, pp. 45-64

This study investigates the dynamic relationship between stock return and trading volume in the banking sector of Amman Stock Exchange (ASE). In addition, it reveals the nature and direction of this relationship. Therefore, several tests were utilized to include: Bivariate regression model,...

Persistent link: https://www.econbiz.de/10010148092

The dynamics of relationship between exports and economic growth in India

Mishra, P. K. - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 53-70

estimation, the study provides the evidence of stationarity of time series variables, existence of long-run equilibrium relation … vector error correction model estimation. -- export-led growth hypothesis ; India ; GDP ; Granger causality ; error …

Persistent link: https://www.econbiz.de/10009958076

Restatement of the I-O coefficient stability problem

Dobrescu, Emilian - In: Journal of economic structures : JES; the official … 2 (2013), pp. 1-67

The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A—matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients...

Persistent link: https://www.econbiz.de/10010186053

Romania's accession to the Eurozone : a simulation using a simple DSGE model

Viziniuc, Mǎdǎlin - In: Theoretical and applied economics : GAER review 20 (2013) 8, pp. 15-36

Persistent link: https://www.econbiz.de/10010186008

Assessing and understanding the key risks in a PPP power station projects

Azar, Adel; Zangoueinezhad, Abouzar; Elahi, Shaban; … - In: Advances in management & applied economics 3 (2013) 1, pp. 11-33

conceptual risk assessment system (RAS) using combined risk map and fuzzy sets theory for assessing PPP projects risks. The … combined risk map and fuzzy sets theory approach is very effective to assess project risks across project, work package and … partnerships (PPPs) ; risk map ; fuzzy sets theory ; knowledge-based fuzzy inference system …

Persistent link: https://www.econbiz.de/10010097687

Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market

Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

Persistent link: https://www.econbiz.de/10010118438

Measurement of liquidity-adjusted market risk by VaR and expected shortfall : evidence from Turkish banks

Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...

Persistent link: https://www.econbiz.de/10010058692

El coste de los cuidados de larga duración en la población española : análisis comparativo entre los años 1999 y 2008

Alcañiz Zanón, Manuela; Alemany Leira, Ramón; … - In: Revista de métodos cuantitativos para la economía y … 12 (2011), pp. 111-131

This paper analyzes the cost of long-term care (LTC) associated to individuals in dependence situation. The economic cost of care per unit of service is linked to the expected time of needed care and the intensity of required services. We have estimated the expected lifetime cost of LTC in...

Persistent link: https://www.econbiz.de/10009957390