We "spatialize" residual-based panel cointegration tests for nonstationary spatial panel data in terms of a spatial error correction model (SpECM). Local panel cointegration arises when the data are cointegrated within spatial units but not between them. Spatial panel cointegration arises when the data are cointegrated through spatial lags between spatial units but not within them. Global panel...

This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger caus...

With the purpose of analyzing non-stationary time series, this paper innovates the nonlinear cointegration discriminate analysis by introducing support vector machine and innovated feature-weighting model to overcome existing limitations of two methods, that is, the statistical approach and the neural network used by the nonlinear cointegration theory. Then, the application of the innovated met...

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the sample size. Typical examples include tests for unit roots in panels where the units are linked by complicated dynamic relationships. It is well known that conventional cointegration tests based on a parametric (vector autoregressive) representation of the system break down if the...

This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...

We study the Danish unemployment experience 1905-92 using a common trends model with cointegration constraints. To justify the identifying assumptions about the cointegration vectors and the common trends we present a simple macroeconomic model of the labor market. The model determines the long run behavior of labor productivity, employment, unemployment, real product and real consumer wages. T...

Consanguineous marriages and their effects on human beings in light of biological effects of genetic sicknesses are discussed in many studies. Among many, the likelihood of sicknesses such as phenylketonuria, thalassemia, Landsteiner–Fanconi–Anderson’s syndrome, hemophilia and many neuro system anomalies increase drastically in countries with consanguineous marriage practices resulting in incre...

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates...

Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold cointegration, from the seminal paper of Balke and Fomby (1997) to the recent developments. Simultaneously, it is to describe the implementation of the main functionalities for the modeling in the open-source package tsDyn. It provides hence a unique way to get an introduction on the threshold coin...