One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...

The main purpose of this paper is to investigate the causality relationship between energy consumption and economic growth in four low-income countries in Sub-Saharan Africa using the econometrics in time-series methods. Along the estimation process, I use the annual data on energy consumption...

The ECB's one size monetary policy is unlikely to fit all euro area members, which raises a discussion about how much monetary policy stress this causes at the national level. We measure monetary policy stress as the difference between actual ECB interest rates and Taylor-rule implied optimal...

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Using Cointegrated Vector Auto-Regression analysis, we provide evidence for the US manufacturing sector that production capacities adjust endogenously to current output in the long run. The rate of capacity utilization, i.e. the output-capacity ratio, is found to be stationary since production...

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...

This study attempted to quantify the relationship between international trade and overall economic performance in Nigeria. Specifically, this study examined the correlation between economic growth and each of export performance and import penetration, as well as the effect of export performance,...

This study proposes constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Mler (2007), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then...

Over the years Pakistan has failed to collect enough revenues for financing of its budget. Consequently, the problem of twin deficits emerged and to finance the developmental activities government has to rely on public external and domestic debt. The positive effects of public debt relate to the...