Showing 1 - 10 of 6,655
This paper applies alternative time series techniques such as general to specific (GETS) and Johansen maximum likelihood (JML) to estimate the long-run income and price elasticities of demand for energy for Fiji. We also test for the causal relationship between energy consumption, GDP and energy...
Persistent link: https://www.econbiz.de/10009360035
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
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
In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix but it may be invalid (negative definite). With R(m,m)...
Persistent link: https://www.econbiz.de/10005787098
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
Australia using time series data for the period of 1965–2007. Johansen cointegration technique is employed to examine the long …
Persistent link: https://www.econbiz.de/10011096444
This study runs a cointegration analysis on annual data from 1980 to 2007 to investigate the relationship between …, Stock-Watson dynamic ordinary least squares (DOLS), the bounds testing approach to cointegration and error correction … modelling. The empirical results suggest that there is a stable long run linear cointegration relationship between these three …
Persistent link: https://www.econbiz.de/10011259952
challenges in the South Asian region. In this paper the authors investigate the presence of cointegration and causality …
Persistent link: https://www.econbiz.de/10011213151
Johansen cointegration and ARDL (Autoregressive Distributed Lag) bounds tests suggest presence of two cointegrating vectors …
Persistent link: https://www.econbiz.de/10011190911
interrelationships between the variables using the bounds testing to cointegration procedure. The bounds test results indicate that there …
Persistent link: https://www.econbiz.de/10010809257