منابع مشابه
Price Convergence Among Indian Cities: A Cointegration Approach
Price dynamics in Indian cities were examined using cointegration analysis. We identified and calculated a common trend for prices in 25 major cities in India. Impulse response functions were obtained to calculate the rates of convergence to the prices and we found that the half-life of any shock is very small for Indian cities. Although a close to three-month half-life seems too fast, there is...
متن کاملPrice Index Convergence Among Indian Cities: A Cointegration Approach
We examine the price dynamics in Indian cities using cointegration analysis. We identify and then calculate a common trend for prices in these 25 cities. We obtain the impulse response functions to calculate the rates of convergence to the prices, and find that the half-life of any shock is very small for Indian cities. Although a close to three-month half-life seems too fast, there are some in...
متن کاملCointegration, Fractional Cointegration, and Exchange Rate Dynamics
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...
متن کاملGlobalisation and Cointegration among the States and Convergence across the Continents: A Panel Data Analysis
This paper attempts to examine the level of cointegration among various nations across continents with respect to their globalisation. An approach is also made to analyse the nature of interand intra-continental globalisation and its variation over time. The proximity and convergence over time, in terms of the growth of globalisation is examined by using a panel data set over a period from 1970...
متن کاملConvergence to Stochastic Integrals with Fractionally Integrated Integrator Processes: Theory, and Application to Fractional Cointegration
The weak limit is derived of the sample covariance of a pair of fractionally integrated processes, one I(dY ) for 0 < dY < 1/2, and the other I(1 + dX) for −1/2 < dX < 1/2. The limit is not a stochastic integral with respect to a martingale integrator, but can be represented as a functional of a process of this type. The result has applications in the analysis of cointegrating regressions in wh...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1865964