We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application t...

this paper investigate iranian tourism demand to malaysia using the recently developed autoregressive distributed lag (ardl) ‘bound test’ approach to cointegration for 2000:q1 to 2013:q4. the demand for tourism has been explained by macroeconomic variables, including income in iran, tourism prices in malaysia, tourism price substitute, travel cost and trade value between iran and malaysia. in a...

The structure of the package apt and the implementation of models for asymmetric price transmission (APT) are explained in this note. This type of economic analysis is typically time series analysis with the steps of unit root test, cointegration test, and finally error correction model. APT studies have evolved with several distinct stages: pre-cointegration, linear cointegration, nonlinear th...

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 ...

The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Historically, this question has been answered by classical testing of over-identifying restrictions on the cointegration space. This paper introduces an exact finite sample Bayesian procedure to calculate the posterior probability of restrictions on ...

Abstract D emonetization initiative by Govt. of India in Nov-Dec, 2016 aimed at addressing the issues like black money, hoarding and overall cleansing the monetary system. This paper in this regard attempts to empirically examine the impact of demonetization drive upon the monetary system by taking data of 180 days prior to Nov, 2016. The cointegration results exhibit show a long run ...

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...