This paper investigates the determinants of private investment in Senegal over the period of 1970-2000. It first tests the variables for unit root using two, relatively, new tests namely the Dickey-Fuller generalised least square de-trending test proposed by Elliot et al. (1996) and the Ng-Perron test following Ng and Perron (2001). The long run private investment equation is derived using the ...

This research uses multivariate cointegration analysis to assess the degree . of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypo...

This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series services sector, industry sector and financial sector for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of thes...

The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging ma...

• Macroeconomic background – Sims (1980) – Stock and Watson (1988) • Vector Autoregressions 1. Stationarity vs. nonstationarity 2. Structural models 3. Dynamic experiments 4. Estimation – Lütkepohl (1991), chapter 2 – Hamilton (1994), chapter 11 – Sims (1980) – Cooley and LeRoy (1985) – Runkle (1987) • Cointegration and Common Trends – Johansen and Juselius (1990) – King, Plosser, Stock, and Wa...

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl (2000b). The Monte Carlo analysis reveals that ignoring level shifts reduces the tests’ sizes to zero...

In this paper we investigate the merits of artiicial neural networks in forecasting foreign exchange rates. From previous research it is known that it is hard to beat the random walk model using structural exchange rate models. In this paper we show that by using a suitable multivariate speciication a structural model can be derived that beats the random walk. By introducing a new method for mu...

The purpose of this study is to contribute further on the twin deficits debate in a developing economy. The data for Malaysia over four decades is used as a case study. Empirical result obtained from the Johansen-Juselius (1990) cointegration test indicates that budget deficit and current account deficit do not contain common stochastic trend in the long run. However, the findings from the Gran...

This paper documents the evidence for a fiscal model of the Yen/Dollar real exchange rate over the 1974-1994 period. Cointegrating relationships between the real exchange rate and productivity, government spending and the real price of oil are estimated using the Johansen (1988) and Stock-Watson (1993) procedures. The neoclassical fixed-factors fiscal model of Rogoff (1992) is found to have som...