نتایج جستجو برای: derived from our cointegration model

تعداد نتایج: 7634058  

2000
Søren Johansen

A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

2002
Ann-Charlotte Eliasson

Simulations are used to check the probability of detecting a time-varying equilibrium correction by applying the existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the nonlinearity, and the Johansen cointegration test and the Lin and Teräsvirta parameter constancy test are applied. It turns out that both tests perform well separately...

Journal: :iranian economic review 0
mohammad sharif karimi razi university huseyin karamelikli economics science department, karabuk university, turkey

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...

Journal: Iranian Economic Review 2017

This paper aims to investigate the direction of causality between economic growth, energy consumption and trade openness in case of Iran for the period 1967–2012. We apply the newly developed combined cointegration test proposed by Bayer and Hanck (2013). Vector Error Correction Model (VECM) is applied to determine the direction of causality between these three variables. The result of Bayer-Ha...

2006
Gary Koop Roberto León-González Rodney W. Strachan

A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identi…ed choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior. Furthermore, we develop a collapsed Gibbs sampling algorithm to carry out e¢ cient posterior simulati...

Journal: Iranian Economic Review 2019

T his paper analyses the relation between GNP sectors of Iran’s economy. The different sectors of the economy directly or indirectly affect each other and can complement or follow each other. Using a number of empirical tests, the paper finds evidence of seasonal or periodic integration in the underlying data. This means that the conventional cointegration tests may not be robust and in re...

Journal: :Journal of Geographical Systems 2010
Michael Beenstock Daniel Felsenstein

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...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه علامه طباطبایی - دانشکده اقتصاد 1389

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...

Journal: :Insurance: Mathematics and Economics 2018

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