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Economic forecasting in theory and practice : an interview with David F. Hendry

Ericsson, Neil R. - In: International journal of forecasting 33 (2017) 2, pp. 523-542

Persistent link: https://www.econbiz.de/10011922924

Testing the balanced growth hypothesis in the presence of structural breaks : evidence from developed and developing countries

Arjun; Mishra, Bibhuti Ranjan - In: Prague economic papers : a bimonthly journal of … 33 (2024) 1, pp. 1-35

(univariate analysis) and cointegration techniques (multivariate analysis) that permits endogenously determined structural breaks … developing countries. The study also employs the Westerlund (2006) panel cointegration test with structural breaks to examine the …

Persistent link: https://www.econbiz.de/10014516266

Survey vs scraped data : comparing time series properties of web and survey vacancy data

Pedraza, Pablo de; Visintin, Stefano; Tijdens, Kea Gartje; … - In: IZA Journal of Labor Economics 8 (2019) 4, pp. 1-23

This paper studies the relationship between a vacancy population obtained from web crawling and vacancies in the economy inferred by a National Statistics Office (NSO) using a traditional method. We compare the time series properties of samples obtained between 2007 and 2014 by Statistics...

Persistent link: https://www.econbiz.de/10012195777

Exports and imports in Qatar : evidence from cointegration and error correction model

Al-Khulaifi, Abdulla S. - 2013

Johansen cointegration approach. Qatar is a small open economy that depends on the outside world for exporting its oil, natural …

Persistent link: https://www.econbiz.de/10009762348

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

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

Persistent link: https://www.econbiz.de/10012619980

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …

Persistent link: https://www.econbiz.de/10012886334

Causality between bank's major activities and economic growth: evidences from Pakistan

Mushtaq, Saba - In: Financial innovation : FIN 2 (2016) 7, pp. 1-11

of this study is to investigate the direction of this relationship. Methods: Johansen test of Co-integration and Granger …

Persistent link: https://www.econbiz.de/10011542400

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Mercados cambiarios y tipos de cambio de Asia y Latinoamérica : sincronización de largo plazo, cambios estructurales y choques estocásticos

Ruiz Porras, Antonio; Fregoso Becerra, Luis Enrique - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 295-317

structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long …

Persistent link: https://www.econbiz.de/10011870778