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Re-examining the finance-growth relationship for a developing economy : a time series analysis of post-Reform India
Kar, Sabyasachi; Mandal, Kumarjit - In: The journal of developing areas 48 (2014) 1, pp. 83-105
Persistent link: https://www.econbiz.de/10010357280
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Testing for unit roots with cointegrated data
Reed, W. Robert - 2015
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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The perils of counterfactual analysis with integrated processes
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016
are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …
Persistent link: https://www.econbiz.de/10011579472
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Chapter 11 Forecasting with Trending Data
Elliott, Graham - 2006
models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …
Persistent link: https://www.econbiz.de/10014023695
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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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Panel Tests for Unit Roots in Hours Worked
Kappler, Marcus - 2006
-stationarity of hours worked. In addition, taking these results together, there is no indication of cointegration among the individual …
Persistent link: https://www.econbiz.de/10010297530