In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock market indices, their cointegration r...

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and determ...

Workers’ remittances constitute one of the most important sources of external finance for many developing countries. Although it shows a decreasing trend in recent years, Egypt after 1970s with her regular and massive labor migration to abroad has been still one of the gainer countries on remittances across the world. Empirical studies that implemented for various countries reveal workers’ ...

This essay introduces a new featured section, to be published in Small Axe annually, that explores the critical vocabulary of field Caribbean studies.

The distribution of a functional of two correlated vector Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both tabulated critical val...

This paper studies the effects of increasing the frequency of observation and the data span on the Johansen cointegration tests. The ability of the tests to detect cointegration depends more on the total sample length than the number of observations.  2000 Elsevier Science S.A. All rights reserved.

This paper examines empirically the tourism impact on the long-run economic growth of Greece by using the causality analysis among real gross domestic product, real effective exchange rate and international tourism earnings. A multivariate autoregressive VAR model is applied for the examined period 1960:Ι – 2000:IV. The results of cointegration analysis suggested that there is one cointegrated ...

In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.