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Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test
Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10010479050
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Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework
Cuevas, Mario A. - 2004
.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series …
Persistent link: https://www.econbiz.de/10014115684
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Wavelet analysis of economic time series
Andersson, Fredrik N. G. - 2008
Persistent link: https://www.econbiz.de/10003801150
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The effects of business cycles on tourism demand flows in small island destinations
Croes, Robertico; Ridderstaat, Jorge - In: Tourism economics : the business and finance of tourism … 23 (2017) 7, pp. 1451-1475
Persistent link: https://www.econbiz.de/10011772668
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Dynamic interactive cycles during the 2008 financial crisis
Neokosmidis, Ioannis M.; Polimenis, Vassilis - In: Modern economy 1 (2010) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10009306012
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The effect of federal government size on long-term economic growth in the United States : 1791 - 2009
Guerrero, Federico; Parker, Elliott - In: Modern economy 3 (2012) 8, pp. 949-957
Persistent link: https://www.econbiz.de/10010201976
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Foreign private investment and economic growth in Nigeria : a cointegrated VAR and Granger causality analysis
Abdullahi, F. Z.; Ladan, S.; Bakari, Haruna R. - In: CBN journal of applied statistics 2 (2011) 2, pp. 15-28
This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign … model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation …
Persistent link: https://www.econbiz.de/10011477457
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Co-movements of the Indian stock market with select developed markets
Sudhakar, Aare; Sireesha, P. Bhansu - In: GITAM journal of management : a quarterly publication … 12 (2014) 4, pp. 137-156
Persistent link: https://www.econbiz.de/10011292576
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Beyond growth : does tourism promote human development in India? : evidence from time series analysis
Sharma, Manu; Mohapatra, Geetilaxmi; Giri, Arun Kumar - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 12, pp. 693-702
Persistent link: https://www.econbiz.de/10012672116
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Causality between environmental degradation and macro economic variables in India : a time series analysis
Illiyan, Asheref; Akram, Vasim - In: The Indian journal of economics 100 (2019) 396, pp. 107-119
Persistent link: https://www.econbiz.de/10012586614