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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and...

Persistent link: https://www.econbiz.de/10013044515

Testing for panel cointegration using common correlated effects estimators

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...

Persistent link: https://www.econbiz.de/10012010208

The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation

Ilmolelian, Peter - EconWPA - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005119105

Errors-in-Variables Estimation with No Instruments

Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

Persistent link: https://www.econbiz.de/10008487529

Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, a notion of near cointegration...

Persistent link: https://www.econbiz.de/10014203187

Sources of Economic Growth in Iran : A Cointegration Analysis in the Presence of Structural Breaks, 1960-2003

Pahlavani, Mosayeb - 2008

This paper examines the major determinants of GDP growth in Iran using annual time series data spanning from 1960 to 2003. The Iranian economy has been subject to a multitude of structural changes and regime shifts during the sample period. Thus, time series properties of the data are first...

Persistent link: https://www.econbiz.de/10014215537

A Residual-Based Cointegration Test for Near Unit Root Variables

Hjalmarsson, Erik; Österholm, Pär - 2007

Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni...

Persistent link: https://www.econbiz.de/10014221890

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

concerning whether the series being examined is I(0) or I(1), so that a sort of circular testing problem exists. In this paper … circular testing problem that arises when choosing data transformation and the order of integratedness. In particular, we …-levels specifications in the presence of deterministic and/or stochastic trends. Second, we note that even if pre-testing is not undertaken …

Persistent link: https://www.econbiz.de/10014075928

Self-Normalization Inference for Linear Trends in Cointegrating Regressions

Cho, Cheol-Keun - 2022

This article highlights the importance of statistical tests on the trend coefficient in cointegrating regressions when the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics constructed using integrated and modified ordinary...

Persistent link: https://www.econbiz.de/10014078083

Rejoinder : A Note on Wavelet Correlation and Cointegration

Leong, Chee Kian - 2014

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

Persistent link: https://www.econbiz.de/10014143753