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This paper provides a review of the literature on unit roots and cointegration …
Persistent link: https://www.econbiz.de/10012991206
panel and intra-panel cointegration techniques to test for long-run relationship between variables. Therefore, results from …
Persistent link: https://www.econbiz.de/10012922539
To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...
Persistent link: https://www.econbiz.de/10012544584
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10013318328
Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...
Persistent link: https://www.econbiz.de/10011715923
The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …
Persistent link: https://www.econbiz.de/10005207177
This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is...
Persistent link: https://www.econbiz.de/10005207209
This paper studies the long and short-run relationship between oil exports, non oil GDP and investment in five major oil exporting countries. Its goal is to verify the effect of natural resources exports on the economic performance. It considers the effect of cross sectional correlations and...
Persistent link: https://www.econbiz.de/10005025719
data unit root and stationarity tests to characterize our data. Then, we test cointegration between our variables with Kao …[16] panel data cointegration tests. As we accept cointegration, we compare different estimators (OLS, FMOLS, DOLS …
Persistent link: https://www.econbiz.de/10005345807
For spatial data with a sufficiently long time dimension, the concept of global cointegration has been recently … included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both … allows us to analyze the short- and long-run impacts of internationalization activities. For the long-run cointegration …
Persistent link: https://www.econbiz.de/10008691995