نتایج جستجو برای: hidden cointegration
تعداد نتایج: 70618 فیلتر نتایج به سال:
This paper examines aggregate money demand relationships in five industrial countries by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Fractional cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero, i.e. that the error cor...
In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, ...
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...
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...
This study deals with the relationship between tourism revenues and economic growth in Turkey over period 2003Q1-2019Q3 within framework of Fourier approach. The results ADF unit root test show that two variables are I(1). Upon this, ADL Hidden cointegration tests applied to investigate existence long-term among aforementioned variables. According tests, there is a unidirectional running from r...
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