نتایج جستجو برای: cointegration jel classification c22
تعداد نتایج: 507055 فیلتر نتایج به سال:
This paper considers a single equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the standard residualbased test, and we show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation ...
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the individual series and then, testing the degree of integration of the residuals from the cointegrating relatio...
We tested the validity of the “Law of Increasing State Activities” or Wagner’s Law using time series for the U.S. state-local government (SLG) real expenditure over the period 1957-2006. This period was characterized by rising SLG total expenditure and several of its sub-categories both in absolute terms and relative to state personal income. Cointegration tests of Johansen (1991) and Pesaran, ...
The dynamic and complex relationship among economic variables has attracted the researchers, policy makers and business people alike. This study is an attempt to test the dynamic relationship among gold price, stock returns, exchange rate and oil price. All these variables have witnessed significant changes over time and hence, it is absolutely necessary to validate the relationship periodicall...
Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric depa...
This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. When these characteris...
This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling jointly the cointegration restrictions at the different frequencies may induce some efficiency gain in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already exist...
The paper is dedicated to deriving a gaussian procedure to test for cointegration. We consider four alternative specifications, depending on the form adopted by the deterministic terms. We then define the test statistic and derive its asymptotic behaviour under both the null and the alternative hypotheses. We show that, under the null hypothesis, the test procedure follows a Standard-Normal dis...
This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroeconomic dynamics. The ...
We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...
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