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common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10013320629
This paper investigates the effectiveness of monetary-fiscal policies interaction on price and output growth in Nigeria. The dynamic correlations of variables have been captured by the analyses of impulse response and variance decomposition. From innovation analyses, the results suggest that the...
Persistent link: https://www.econbiz.de/10011474838
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The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...
Persistent link: https://www.econbiz.de/10012127873
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The …
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weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10013082067