This paper examines co-integration and the causal relationship between Foreign Direct Investment (FDI) and the economic output or Gross Domestic Product (GDP) in the both short and long run of Bangladesh, Pakistan and India over the period of 1972-2008. Three econometric models, viz. Augmented Dickey-Fuller (ADF) test, Engle-Granger two-step co-integration test, Vector error correction mechanis...

This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be performed for more realistic processes and testing strategies. The most important conclusion is that the ...

This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parame...

Despite the management of interest rates by monetary policy authorities over these years, performance capital market has not been impressive in Nigeria. The study analyzed memory response to announcement used rate, and deposit rate as against capitalization. sourced data from Central Bank Nigeria Statistical Bulletin between 1985 2020. adopted Augmented Dickey-Fuller, Autoregressive Distributed...

This study used an ECM to analyze the determinants of agricultural land expansion in Nigeria. Results show that at first differencing, Augmented Dickey Fuller test indicated stationarity for all the variables (p< 0.05) and there were 7 cointegrating vectors using Johansen test. The dynamic unrestricted short-run parameters of permanent cropland growth rates (68.62), agricultural production inde...

The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX...

The objective of this study is to test the relationship between short-term nominal interest rate and inflation in the context of the Indian financial market. To achieve this objective we perform Augmented Dickey-Fuller unit root test to check for stationarity and thereafter we test for co-integration using the Engle-Granger method and further corroborate the findings of this test with the Johan...

This paper illustrates the flexibility of the ESTAR model to encompass a number of different characteristics found in economic and financial series, such as multiple equilibria, complex dynamics, chaotic-like behavior, and spurious trends. We then re-assess the power of the Kapetanios et al. (2003), Enders and Granger (1998), and Augmented Dickey Fuller unit root tests in the presence of nuisan...

This study examines the impact of government expenditure on economic growth in Nigeria using time series data spanning from 1980-2020. Variables used includes real gdp, final consumption and population rate. Augmented Dickey Fuller Philips-Perron unit root test for stationary variable, Johansen Co integration, Vector Error Correction Granger Causality tests were estimated. co integration result...

This study was aimed at examining the effect of population on economic growth in Uganda from 2000 to 2020. Specifically, objectives were to; examine Effect age dependency ratio Uganda, establish total fertility rate and assess enrollment primary schools Uganda. A longitudinal design used increase years 2020 relevant data sourced World Bank Development Indicators database. Augmented Dickey Fulle...