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Long-run Validity of Export-Led Growth: An Empirical Reinvestigation from Linear and Nonlinear Cointegration Test

Lim, Shiok Ye; Chia, Ricky Chee-Jiun; Ho, Chong Mun - In: Economics Bulletin 30 (2010) 2, pp. 1182-1190

(2001) rank test procedures. Breitung (2001) rank test can detect both linear and nonlinear cointegration relationships …, added value to the literature with strong evidences of nonlinear cointegration on GDP growth and export. …

Persistent link: https://www.econbiz.de/10008516061

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

Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries

Chia, Ricky Chee Jiun; Lim, Shiok Ye; Ong, Sheue Li - In: Economics Bulletin 34 (2014) 3, pp. 1438-1447

Studies on long-run purchasing power parity based on rank test for nonlinear cointegration is limited. Therefore, to … formally examine if nonlinear purchasing power parity really exist in the selected low-income African countries, the current … is not only capable in the detection of cointegration, but can further distinguish linear from nonlinear relationship if …

Persistent link: https://www.econbiz.de/10010835860

Improved calendar time approach for measuring long-run anomalies

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

Persistent link: https://www.econbiz.de/10011449859

Foreign exchange and the capital market dynamics : new evidence from non-linear autoregressive distributed lag model

Omoregie, Osaretin Kayode; Olofin, Sodik Adejonwo; … - In: International journal of management, economics and … 9 (2020) 1, pp. 1-23

The purpose of this study was to investigate and analyze the relationship between foreign exchange and capital market dynamics in Nigeria from January 1999 to February 2018. The study deployed the Non-Linear-ARDL model to study the dynamics of exchange rate and the capital market in Nigeria. The...

Persistent link: https://www.econbiz.de/10012194765

Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia

Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger...

Persistent link: https://www.econbiz.de/10013489691

Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis

Hossain, Md. Shahadath; Rahman, A.B.M. Munibur; Rajib, … - In: International Journal of Economics and Financial Issues 3 (2013) 1, pp. 191-201

utilized. Stationarity of the variables are tested with Augmented Dickey-Fuller (ADF) unit root test and found that variables …

Persistent link: https://www.econbiz.de/10010602037

Cointegration between carbon spot and futures prices: from linear to nonlinear modeling

Chevallier, Julien - In: Economics Bulletin 32 (2012) 1, pp. 160-181

This paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration …

Persistent link: https://www.econbiz.de/10009397028

Export and economic growth in Southeast Asia current Newly Industrialized Countries: Evidence from nonparametric approach

Lim, Shiok Ye; Ghazali, Mohd Fahmi; Ho, Chong Mun - In: Economics Bulletin 31 (2011) 3, pp. 2683-2693

true relationship is nonlinear, then inference from linear model may be invalid. This study re-examines the exports …

Persistent link: https://www.econbiz.de/10009322476

Understanding Unemployment Hysteresis: A system-based econometric approach to changing equilibria and slow adjustment

Møller, Niels Framroze - Økonomisk Institut, Københavns Universitet - 2013

presents a multivariate econometric framework for analyzing hysteresis, which allows one to test different hypotheses about non-stationarity … period 1988 up to the onset of the financial crisis, the non-stationarity of UK unemployment cannot be explained as a result …

Persistent link: https://www.econbiz.de/10010690214

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