This paper uses a structural, large dimensional factor model to evaluate the role of ‘news’ shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by ‘non-fundamentalness’ and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explainin...

In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson’s (1993) claim that the role of leads is related to the concept of Granger causality by a Monte Carlo simulation. From the simulation results, we find that the dynamic OLS estimator without ...

abstract in this study, we applied recently developed panel unit root and cointegration techniques to examine the long-run real income per capita and price elasticities for demand of electricity in selected middle east and north african (mena) countries using an annual data series from 1990 to 2011.our main finding from the panel analysis is that the demand for electricity is highly price elast...

This paper tries to analyze effects of trade and financial liberalizations on the Iran’s government size during both long-run and short- run. Accordingly, a specification of the auto regression with distributed lag (ARDL) has been used for investigating the long run relationships between variables, and a vector correction model (VECM) has examined dynamically the short-run relationships betwe...

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...

Eğitim, bilgi, enformasyon, yenilik ve araştırma geliştirme (Ar-Ge) gibi fiziki olmayan faktörler ekonomik büyümenin yeni kaynakları olarak ifade edilmektedir. Bu çalışmada, bilimsel teknolojik performansın GSYH üzerindeki etkisi analiz edilmiştir. amaçla, 21 OECD ülkesi için, 2003-2016 yılları panel verisi kullanılarak Pedroni Eşbütünleşme Testi, Vektör Hata Düzeltme Modeli (VECM) Granger Nede...

Using the Vector Error Correction Model (VECM) and Toda-Yamamoto Causality approach, this paper investigates short-run long–run relationship between export diversification, physical human capital, imports, economic growth in UAE. The study period consideration is 1975-2017. findings obtained from VECM test confirm existence of a significant long-run Besides, Toda Yamamoto Granger results reveal...

This study looks at the dynamic relationship between the Pakistani equity market and equity markets of Group of Eight countries (G8) which includes Canada, France, Germany, Italy, Japan, Russia, UK and USA by using weekly time series data starting from June 2004 to May 2009. Multivariate Co-integration approach by Johnson and Julius (1990) shows there exists no long-term relationship between th...

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or non-stationarity tests) is one of the first attempts at putting the salesmarketing mix analysis within a multiv...

This study re-examines the long run relationship between the budget and current account deficits in an oil-dependent open economy like Nigeria using a multivariate Granger causality test within the VECM framework. This result confirmed the existence of a long run relationship between the budget and current account deficit in Nigeria, thus supporting the Mudell-Fleming theory and refuting the Ri...