نتایج جستجو برای: juselius co

تعداد نتایج: 333093  

Journal: :Econometrics 2022

This article was prepared for the Special Issue ‘Celebrated Econometricians: Katarina Juselius and Søren Johansen’ of Econometrics. It is based on material recorded 30–31 October 2018 in Copenhagen. explores Juselius’ research, discusses inter alia following issues: equilibrium; short long-run behaviour; common trends; adjustment; integral proportional control mechanisms; model building compari...

2014
Franco Bevilacqua Cinzia Daraio

This paper investigates the e¤ects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating international parity relationships found by Juselius and MacDonald (2000). Our empirical analysis outstandingly produced results similar to the ones obtained by Juselius and MacDonald, suggesting that the cointegration relationships in the international parity...

Journal: Iranian Economic Review 2006

This paper examines the causal relationship between energy use and real GDP for the period 1967-2002 in Iran. The results of Phillips- Perron test indicate that the real GDP and the four categories of energy, i.e. coal, oil, gas, and hydroelectric energy are integrated of order one. Besides, the Johansen — Juselius maximum likelihood co- integration tests imply the existence of Granger causalit...

2009
Milind Sathye Dharmendra Sharma

The objective of this study is to test the relationship between short-term nominal interest rate and inflation in the context of the Indian financial market. To achieve this objective we perform Augmented Dickey-Fuller unit root test to check for stationarity and thereafter we test for co-integration using the Engle-Granger method and further corroborate the findings of this test with the Johan...

Journal: :iranian economic review 0

this paper examines the causal relationship between energy use and real gdp for the period 1967-2002 in iran. the results of phillips- perron test indicate that the real gdp and the four categories of energy, i.e. coal, oil, gas, and hydroelectric energy are integrated of order one. besides, the johansen — juselius maximum likelihood co- integration tests imply the existence of granger causalit...

Journal: :management studies and economic systems 2015
muhammad amir alvi sajjad hussain chughtai ayaz ul haq

the focal objective of this study is to analyze and explore the co-movement of pakistan stock market (kse-100) with the stock market of developed countries (us, uk, canada, australia, germany, japan, france and neither land) which have portfolio investment in pakistan by applying co-integration approach using johansen and juselius multivariate and bi variate co-integration. secondary data of st...

2010
Hae-min Kim

Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This proje...

Journal: :تحقیقات اقتصادی 0
حسین عباسی نژاد دانشگاه تهران، دانشکده ی اقتصاد احمد تشکینی مؤسسه ی مطالعات و پژوهش های بازرگانی تیمور رحمانی دانشگاه تهران، دانشکده ی اقتصاد هدیه ستایش دانشگاه تهران، دانشکده اقتصاد

the minimum wage determination is one of the most significant economic issues exerting effects on macroeconomic variables. this study provides an empirical model using var method to analyze the long run relationships and short run dynamisms of factors affect general price level (with emphasis on minimum wage) during the period of 1978-2010. to examine long run relationships we used johansen-jus...

2014
M. H. Yahya

The objective of the paper is to ascertain the influence of shares derivatives trading on the Malaysian stock market. Johansen-Juselius’ co-integration test reveals signs of increasing integration between these cash and futures markets over time. The Granger causality test indicates that the stock index futures Granger causes the cash index with no feedback in the reverse direction during perio...

Ayaz Ul Haq, Muhammad Amir Alvi Sajjad Hussain Chughtai

The focal objective of this study is to analyze and explore the Co-movement of Pakistan stock market (KSE-100) with the stock market of developed countries (US, UK, Canada, Australia, Germany, Japan, France and Neither land) which have portfolio investment in Pakistan by applying co-integration approach using Johansen and Juselius multivariate and bi variate co-integration. Secondary data of st...

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