Journal articles: 'ADF(Augmented Dickey-Fuller Test)'

1

Deng, Lu. "Augmented Dickey-Fuller Test and the Lag Length Selection Problem." Applied Mechanics and Materials 130-134 (October 2011): 3019–22. http://dx.doi.org/10.4028/www.scientific.net/amm.130-134.3019.

Full text

Abstract:

Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perron’s works, this article simulates a more general ARIMA(0,1,q) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.

APA, Harvard, Vancouver, ISO, and other styles

2

Anggraini, Try Beta, and Yefriza Yefriza. "NILAI TUKAR RUPIAH DAN NET EKSPOR INDONESIA 2000 – 2017 (GRANGER CAUSALITY TEST)." Convergence: The Journal of Economic Development 1, no. 1 (March 31, 2020): 9–24. http://dx.doi.org/10.33369/convergence-jep.v1i1.10854.

Full text

Abstract:

The aims of this research is to find out the relationship of rupiah exchange rate and net export Indonesia. This research covers the periode for 2000.Q1-2017.Q4, used secondary data which were analyzed using Granger Causality Test and Augmented Dickey Fuller (ADF) and existing data processed by using computer program of Eviews 9.0. The stationary properties of the time series data are examined by using Augmented Dickey-Fuller (ADF) test. Granger Causality test is applied to find out long-run relationship along with causality among the variables. The result of the data analysis show that there is no causality between rupiah exchange rate and net xport. Granger Causality test showed that there is unidirectional causality between net export to rupiah exchange rate. It is mean that net export effect rupiah exchange rate, but rupiah exchange rate does not effect net export. Keywords: Causality, Net Export, Exchange Rate

APA, Harvard, Vancouver, ISO, and other styles

3

FURUOKA, Fumitaka. "MEAN REVERSION IN UNEMPLOYMENT: NEW FINDINGS FROM THE BALTIC TIGERS." Technological and Economic Development of Economy 23, no. 3 (September 18, 2015): 462–82. http://dx.doi.org/10.3846/20294913.2015.1070769.

Full text

Abstract:

The tendency of the unemployment rate to revert to the mean value or the natural rate of unemployment has been one of the most discussed topics in macroeconomics. This study focused on three Baltic countries – Estonia, Latvia and Lithuania – as case studies to investigate unemployment dynamics. Three unit root tests were performed for this purpose: 1) the Augmented DickeyFuller (ADF) test, 2) the Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) test and 3) the Fourier Augmented Dickey-Fuller (FADF) test. The null hypothesis was that unemployment in the Baltic countries is a unit root process. As the findings revealed, the ADF test and the SURADF test failed to reject the null hypothesis of a unit root for all the three Baltic countries. However, the nonlinear FADF test could not reject the null hypothesis for Lithuania. This means that unemployment in Lithuania could be described as a stationary process. As such, it has the tendency to revert to a sustainable level. By contrast, unemployment in Estonia and Latvia would be best characterised as a non-stationary process where the unemployment rate lacks the mean reverting behaviour.

APA, Harvard, Vancouver, ISO, and other styles

4

Castro, Tomás del Barrio, Paulo M. M. Rodrigues, and A. M. Robert Taylor. "THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS." Econometric Theory 29, no. 6 (August 20, 2013): 1289–313. http://dx.doi.org/10.1017/s0266466613000066.

Full text

Abstract:

In this paper we investigate the impact of persistent (nonstationary or near nonstationary) cycles on the asymptotic and finite-sample properties of standard unit root tests. Results are presented for the augmented Dickey–Fuller (ADF) normalized bias and t-ratio-based tests (Dickey and Fuller, 1979, Journal of the American Statistical Association 745, 427–431; Said and Dickey, 1984; Biometrika 71, 599–607). the variance ratio unit root test of Breitung (2002, Journal of Econometrics 108, 343–363), and the M class of unit-root tests introduced by Stock (1999, in Engle and White (eds.), A Festschrift in Honour of Clive W.J. Granger) and Perron and Ng (1996, Review of Economic Studies 63, 435–463). We show that although the ADF statistics remain asymptotically pivotal (provided the test regression is properly augmented) in the presence of persistent cycles, this is not the case for the other statistics considered and show numerically that the size properties of the tests based on these statistics are too unreliable to be used in practice. We also show that the t-ratios associated with lags of the dependent variable of order greater than two in the ADF regression are asymptotically normally distributed. This is an important result as it implies that extant sequential methods (see Hall, 1994, Journal of Business & Economic Statistics 17, 461–470; Ng and Perron, 1995, Journal of the American Statistical Association 90, 268–281) used to determine the order of augmentation in the ADF regression remain valid in the presence of persistent cycles.

APA, Harvard, Vancouver, ISO, and other styles

5

Soebagiyo, Daryono. "KAUSALITAS GRANGER PDRB TERHADAP KESEMPATAN KERJA DI PROVINSI DATI I JAWA TENGAH." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 8, no. 2 (December 1, 2007): 177. http://dx.doi.org/10.23917/jep.v8i2.1040.

Full text

Abstract:

This research conducted to know the relation of causality between Regional Gross Domestic Products (PDRB) and level of employment. Research method which applied is Granger causality test. Then to get estimation result, done testing stationerity, integration degree testing by using ADF (Augmented Dickey Fuller), and testing cointegration by using ADF. Data in the research is time series data from year 1979 up to 2004. Analysis result gives conclusion that found unidirectional causality relation from Regional Gross Domestic Product (PDRB) to employment level.

APA, Harvard, Vancouver, ISO, and other styles

6

Oumarou, Issoufou, and Ousseini A. Maiga. "A Causal Relationship Between Trade, Foreign Direct Investment and Economic Growth in Niger." Journal of Social and Economic Statistics 8, no. 2 (December 1, 2019): 24–38. http://dx.doi.org/10.2478/jses-2019-0003.

Full text

Abstract:

Abstract Foreign direct investment and Trade were regarded as an important elements in enhancing economic development. This study used some time series econometric tests including the Augmented Dickey – Fuller (ADF) unit root test developed by Dickey – Fuller, stationary test developed by Kwiatkowski-Philips-Schmidt-Shin (KPSS), Johansen co-integration test and Granger causality test to analyse the connection between foreign direct investment, trade and economic growth in Niger. The tests results showed a bilateral relationship between trade and economic growth and a unidirectional causal relationship between trade and foreign direct investment with direction from trade to foreign direct investment. The long run effect tests revealed that trade has a positive effect on economic growth while foreign direct investment has a negative effect on economic growth in Niger. On average, ceteris paribus, the coefficients are statistically significant at 5% level.

APA, Harvard, Vancouver, ISO, and other styles

7

JIWA ATMAJA, MADE ARISTIAWAN, I. PUTU EKA N. KENCANA, and G. K. GANDHIADI. "ANALISIS KOINTEGRASI JUMLAH WISATAWAN, INFLASI, DAN NILAI TUKAR TERHADAP PRODUK DOMESTIK REGIONAL BRUTO (PDRB) PROVINSI BALI." E-Jurnal Matematika 4, no. 3 (June 27, 2015): 83. http://dx.doi.org/10.24843/mtk.2015.v04.i03.p093.

Full text

Abstract:

This paper aimed to determine long-run equilibrium the tourist arrivals, inflation, exchange rate and gross domestic regional product (GDRP) of Bali Province used Johansen’s cointegration test. First examined whether each stationary variables using augmented dickey fuller (ADF) test. ADF test showed GDRP of Bali, tourist arrivals, and exchange rate are not stationary, so it is assumed stationary in first lag or I(1). While inflation is stationary in level or I(0). Johansen’s cointegration test showed the tourist arrivals, inflation, exchange rate and GDRP of Bali are not cointegrated. Notice that there is no long-run equilibrium, it can not be concluded for structural equation models.

APA, Harvard, Vancouver, ISO, and other styles

8

Bashir, Furrukh, Imran Sharif Chaudhry, Rashid Ahmad, and Fiza Habib. "An Econometric Investigation of Sectoral Output and Environmental Degradation in Pakistan." Review of Education, Administration & LAW 3, no. 3 (December 31, 2020): 443–56. http://dx.doi.org/10.47067/real.v3i3.90.

Full text

Abstract:

This study examines effect of sectoral output (agriculture, industry and services) on environmental degradation in Pakistan ranging from period 1972 to 2017. This study makes use of Augmented Dickey Fuller test (ADF) followed by Autoregressive distributed lag model (ARDL). The empirical results show that Co2 emission in Pakistan is increased by Industrial sector output, population and energy consumption while agriculture sector output, services sector output and exports are reducing carbon dioxide emission.

APA, Harvard, Vancouver, ISO, and other styles

9

Seo, Myung Hwan. "UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP." Econometric Theory 24, no. 6 (July 17, 2008): 1699–716. http://dx.doi.org/10.1017/s0266466608080663.

Full text

Abstract:

This paper develops a test of the unit root null hypothesis against a stationary threshold process. This testing problem is nonstandard and complicated because a parameter is unidentified and the process is nonstationary under the null hypothesis. We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions. A residual-based block bootstrap is proposed to calculate the asymptoticp-values. The asymptotic validity of the bootstrap is established, and a set of Monte Carlo simulations demonstrates its finite-sample performance. In particular, the test exhibits considerable power gains over the augmented Dickey–Fuller (ADF) test, which neglects threshold effects.

APA, Harvard, Vancouver, ISO, and other styles

10

Ahad, Muhammad, Talat Afza, and Muhammad Shahbaz. "Financial Development and Estimation of Import Demand Function in Pakistan: Evidence from Combined Cointegration and Causality Tests." Global Business Review 18, no. 1 (February 2017): 118–31. http://dx.doi.org/10.1177/0972150916666909.

Full text

Abstract:

This article explores the relationship between financial development and imports focusing on economic growth and import prices as potential contributors to this relationship. We have applied combined cointegration and causality tests using multivariate model for long-run and augmented Dickey–Fuller (ADF) as well as Phillips–Perron (PP) unit root to test the order of integration of the variables. The empirical evidence confirms the presence of a long-run relationship among the series. Financial development increases imports demand. Economic growth and imports prices decrease imports consumption. Imports are negatively affected by relative prices.

APA, Harvard, Vancouver, ISO, and other styles

11

Karki, Dipendra. "The Dynamic Relationship between Tourism and Economy: Evidence from Nepal." Journal of Business and Management 5 (December 1, 2018): 16–22. http://dx.doi.org/10.3126/jbm.v5i0.27384.

Full text

Abstract:

The objective of this paper is to analyse the role of tourism in the Nepalese economic growth. I use a trivariate model of real Gross Domestic Product (GDP), international tourist arrivals and real effective exchange rate to investigate the long-run and short-run relationship between tourism and economic growth. The Augmented Dickey-Fuller ( ADF) test is used to determine the order of integration of the series, and I employ the Engle- Granger cointegration procedure to test for the presence of long-run relationship. By using annual macroeconomic data for Nepal for the period of 1962-2011, results reveal that there is a cointegrating relationship between tourism and economic growth.

APA, Harvard, Vancouver, ISO, and other styles

12

Sun, Guang Lin, and Jian Wang. "Price Transmission Mechanism of Transit Service in City." Advanced Engineering Forum 5 (July 2012): 44–49. http://dx.doi.org/10.4028/www.scientific.net/aef.5.44.

Full text

Abstract:

Price transmission of transit service is a distinct mechanism with common characters. This paper aims to provide the nature and law of price transmission of transit service. The transmission of transit service prices is defined and transmission routes are classified into vertical and horizontal. The cost-push and demand-push are to drive the price carriers along transmission routes, which produces the price transmission network. Augmented Dickey-Fuller (ADF) and Granger co-integration test are used to measure the cost-push price transmission. For demand-push price transmission, the demand elasticity was used to model the relationship between transit demand and prices.

APA, Harvard, Vancouver, ISO, and other styles

13

Ilalan, Deniz, and Özgür Özel. "Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields." International Journal of Nonlinear Sciences and Numerical Simulation 20, no. 2 (April 26, 2019): 145–52. http://dx.doi.org/10.1515/ijnsns-2018-0012.

Full text

Abstract:

AbstractMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. We apply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.

APA, Harvard, Vancouver, ISO, and other styles

14

Bórawski, Piotr, Marta Guth, Andrzej Parzonko, Tomasz Rokicki, Aleksandra Perkowska, and James William Dunn. "Price volatility of milk and dairy products in Poland after accession to the EU." Agricultural Economics (Zemědělská ekonomika) 67, No. 3 (March 19, 2021): 111–19. http://dx.doi.org/10.17221/459/2020-agricecon.

Full text

Abstract:

Milk and dairy products help meet the nutritional needs of the population. The main goal of this research was to analyse price volatility of milk and dairy products in Poland after accession to the European Union (EU). Price is the main economic influencer. We used 161 monthly observations from 01. 2007 to 05. 2020 to analyse the price changes. To measure the volatility, we have used Augmented Dickey-Fuller test (ADF test), Autoregressive-Moving-Average model (ARMA model), and Granger test. Our research confirmed high volatility of milk and dairy products prices. The ARMA model confirmed that the dairy product prices are stationary. Milk, butter and Gouda cheese are also useful for forecasting.

APA, Harvard, Vancouver, ISO, and other styles

15

Oyetunji, P. O., O. S. Ibitoye, G. O. Akinyemi, O. A. Fadele, and O. T. Oyediji. "The Effects of Population Growth on Deforestation in Nigeria: 1991 – 2016." Journal of Applied Sciences and Environmental Management 24, no. 8 (September 9, 2020): 1329–34. http://dx.doi.org/10.4314/jasem.v24i8.4.

Full text

Abstract:

This study examines the effects of population growth on deforestation in Nigeria between 1991 and 2016. Anthropogenic factors especially population growth were identified to be the major forces responsible for deforestation in Nigeria. The Augmented Dickey Fuller (ADF) test was used to establish stationarity among the variables and the Johansen cointegration test was used to establish a long run relationship between population growth and deforestation in Nigeria. Population growth was found to have a negative effect on the available forest cover in Nigeria. The study therefore recommends the development of rural areas, enactment of policies aimed at reducing population growth and sensitization to protect the available forest resources in Nigeria. Keywords: forests, deforestation, population growth

APA, Harvard, Vancouver, ISO, and other styles

16

K, Ramya, and Bhuvaneshwari D. "Dynamic Interaction Between Nifty 50 and Nifty Sectoral Indices: An Empirical Study on Indian Stock Indices." NMIMS Management Review 29, no. 02 (April 12, 2021): 17–24. http://dx.doi.org/10.53908/nmmr.290202.

Full text

Abstract:

This study aims to determine the cointegrating and causal relationship between Nifty 50 and Nifty sectoral indices. Historical index data of the select indices were collected from the National Stock Exchange (NSE) database for the period Jan 2014 - Dec 2018. Appropriate Econometric tools - Augmented Dickey-Fuller (ADF) test, Phillips and Perron (PP) test, regression model, Granger causality test, and Johansen cointegration test were used to analyze the data. The findings of the study imply that the movements of Nifty sectoral index prices could determine the flow of stock index prices, i.e., Nifty 50 and vice versa during the period of the study which could also help the policymakers and financial planners in providing financial awareness to investors and clients in decision making.

APA, Harvard, Vancouver, ISO, and other styles

17

Game, Aaron, and Jason Wu. "A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis." Journal of Time Series Econometrics 5, no. 2 (April 26, 2013): 163–92. http://dx.doi.org/10.1515/jtse-2012-0020.

Full text

Abstract:

AbstractThis paper proposes a residual-based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliot and Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual-based augmented Dickey–Fuller (ADF) test. The asymptotic null distribution contains difficulty to estimate nuisance parameters for which there is no obvious method of estimation; therefore, we propose a bootstrap methodology to obtain test critical values. Local-to-unity asymptotics and Monte Carlo simulations are used to evaluate the power of the test in large and small samples, respectively. These exercises show that the addition of covariates increases power relative to the ADF and Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of US firms during the 2007–2009 financial crisis. The new test finds stronger evidence for cointegration between the two spreads for more firms, relative to ADF and Johansen tests.

APA, Harvard, Vancouver, ISO, and other styles

18

Sadat, Ahmed Raihan, and Md Emran Hasan. "Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach." International Journal of Accounting and Financial Reporting 9, no. 1 (January 3, 2019): 400. http://dx.doi.org/10.5296/ijafr.v9i1.14454.

Full text

Abstract:

Stock market is one great indicator of any country’s economic condition. Hence, measuring the capital market in different forms has always been a great interest to finance researchers. This paper measures the market efficiency and randomness of Dhaka stock Exchange (DSE) in weak form employing daily observations (return) from two comparatively new ventured indices viz. DS30 and DSEX. Initially, the study tests for normality using Jarque-Bera test of normality and found data series are not normally distributed. Later, some widely used parametric tests were conducted to examine the historic price dependencies or to examine the random walk hypothesis (RWH) of DSE indices. Augmented Dickey-Fuller test (ADF), Autocorrelation function (ACF), and variance ratio test (Lo & MacKinlay) were used and all of the results suggested DSE to be not efficient in weak form. Meaning, prices of DSE do not follow a random walk.

APA, Harvard, Vancouver, ISO, and other styles

19

Lodhi, Khalid Mahmood. "Impact of Tax Reduction Policy on Banking Sector in Pakistan." Information Management and Business Review 3, no. 6 (December 15, 2011): 373–82. http://dx.doi.org/10.22610/imbr.v3i6.954.

Full text

Abstract:

This study analyzes the impact of tax policy reforms on the profits of banking sector. The empirical results of unit root and Augmented Dickey Fuller (ADF) test reveal that the data series of tax is positively skewed whereas data series of profitability is negatively skewed. The kurtosis value indicates that all the series are platykurtic. From the value of ADF statistics, it is evident that all the variables are non-stationery at log level and are stationary at their first difference. Granger Causality Test shows that profitability of banking does not granger because tax but tax granger cause profitability of banking which depicts that the change in tax rate affects the profitability of banking industries. The study finds that reduction in corporate income tax rates for banking sector has produced positive impact in shape of increased banking sector profits and assets during the period under review.

APA, Harvard, Vancouver, ISO, and other styles

20

Leta, M., and L. Zemedkun. "Long run relationship between economic growth, export, population and investment of Ethiopia." International Journal of Agricultural Research, Innovation and Technology 8, no. 2 (December 31, 2018): 61–69. http://dx.doi.org/10.3329/ijarit.v8i2.40557.

Full text

Abstract:

The objective of this study is to examine the long-run relationship between economic growth, population, export, and investment in Ethiopia using annual data collected from the World development indicator, and FAOSTAT for 18 years from 1990-2007 E.C. Co integration and Granger Causality test. Stationary properties of the data and the order of integration of the data were tested using the Augmented Dickey-Fuller (ADF) test. Variables were non-stationary at levels but stationary in first differences. The long-run effects of Population, export and investment on Economic growth indicated that these variables are positively related to economic growth and statistically significant at 1% level. Int. J. Agril. Res. Innov. & Tech. 8 (2): 61-69, December, 2018

APA, Harvard, Vancouver, ISO, and other styles

21

Shastri, Shruti, and Swati Shastri. "Exchange rate interest rate linkages in India: an empirical investigation." Journal of Financial Economic Policy 8, no. 4 (November 7, 2016): 443–57. http://dx.doi.org/10.1108/jfep-06-2015-0038.

Full text

Abstract:

Purpose The purpose of the paper is to examine the linkages between exchange rate and interest rate in India using quarterly data from Q1 of 1996 to Q4 of 2014. Design/methodology/approach Stationarity properties of data are checked using the Augmented Dickey–Fuller (ADF), Dickey–Fuller test with GLS de-trending (DF-GLS) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests and Perron’s unit root test with structural breaks. Johansen Juselius and Gregory Hansen tests are applied to assess cointegration, and block exogeneity test is used to detect causality among variables. Findings The study finds long-run relationship among interest rate, rupee–dollar exchange rate, capital flows, intervention, inflation differential, money supply differentials, output differentials and trade-balance differentials. However, the interest rate does not explain movements in the exchange rate, directly and indirectly, via capital flows. Intervention by the Central Banks to stabilize exchange rate does not have implications for movements in interest rate. Research limitations/implications The study finds capital flows to be insensitive with respect to interest rates and hence thwarts International Monetary Fund ’s (IMF) claim of using interest rates as a tool to stabilize exchange rate. The much-debated conflict between exchange-rate stabilization and control over interest rates also does not hold up to the empirical reality of India. Originality/value The study augments the existing literature by taking into account the problem of structural break in the relationship between interest rate and exchange rate. Three measures of interest rate are used to assess the robustness of results adding to their credibility compared to previous studies.

APA, Harvard, Vancouver, ISO, and other styles

22

Rashid, Intan Maizura Abd. "Determinants of FDI Inflows in Agriculture Sector Using Pooled Ordinary Least Square (OLS), Pooled Generalized Least Square (GLS), Augmented Dickey-Fuller (ADF) and Philips-perron Unit Root Test." International Journal of Psychosocial Rehabilitation 24, no. 5 (April 20, 2020): 2560–67. http://dx.doi.org/10.37200/ijpr/v24i5/pr201955.

Full text

APA, Harvard, Vancouver, ISO, and other styles

23

Elvianti, Ridha. "HUBUNGAN KAUSALITAS ANTARA PENERIMAAN PAJAK DAN PENGELUARAN NEGARA DI INDONESIA PERIODE 2000-2015." Jurnal Ekonomi dan Bisnis 22, no. 1 (November 1, 2017): 31–39. http://dx.doi.org/10.24123/jeb.v22i1.1644.

Full text

Abstract:

This research intended to analyze the causal relationship between tax revenue and government expenditure in Indonesia. The data used in this research is secondary data form of time series. This resesarch using the approach of quantitative with Unit Root Test and Granger Causality. The observation samples in this research is annual data in the period 2000-2015 and this study examines tax revenue causes government expenditures or vice versa. Augmented Dickey Fuller (ADF) method indicates that the two variables have not stasionary unit root on data level, but the two variables have a stasionary unit root on firstdifference. Based on the result of granger causality test with a probability value of 0.7 which is below the critical value of 10% show that there is unidirectional causality from tax revenue to government expenditure.

APA, Harvard, Vancouver, ISO, and other styles

24

Uddin, Ijaz. "Impact of inflation on economic growth in Pakistan." Economic Consultant 34, no. 2 (June 1, 2021): 33–41. http://dx.doi.org/10.46224/ecoc.2021.2.4.

Full text

Abstract:

Introduction. High and sustained economic growth with low inflation is the central objective of the macroeconomic policy makers. Therefore, inflation has been one of the most researched topics in macroeconomics for the last many years because it has serious implications for GDP growth. The main aim of this empirical study to examined the relationship b/w (GDP) Gross Domestic Product Growth and inflation in Pakistan by using time series data from 1990 to 2015. Methodology. This study apply (ADF) Augmented dickey fuller test for stationary, and then, Engel Granger Co-integration test, for short run and long run association. Results. There is a strong positive and significance relationship between GDP growth and inflation in Pakistan. Which indicate that is a 1unit increase an inflation rate will caused by GDP increased by 0.27 unit.

APA, Harvard, Vancouver, ISO, and other styles

25

Arhenful, Peter, Augustine Kwadwo Yeboah, and Kofi Sarfo Adjei. "Effect of Interest Rate on Stock Prices in Ghana." Journal of Social and Development Sciences 12, no. 1(S) (June 22, 2021): 1–7. http://dx.doi.org/10.22610/jsds.v12i1(s).3187.

Full text

Abstract:

The paper assesses the effect of interest rate on stock prices, with emphases on Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. The Augmented Dickey-Fuller (ADF) test was employed to establish the stationarity properties of the data or otherwise. Using the Ordinary Least Squares (OLS) estimation technique of Multiple Regression, the results (? = – 0.891, p < 0.05) revealed an indirect association between interest rates and stock prices in the Ghanaian context; which is consistent with the theoretical conclusion that an increase in interest rate results in a decrease in stock prices. Thus, in the light of this finding, it was recommended that policymakers should consider the stock market dynamics due to the significant relationship that exists between the two macroeconomic variables.

APA, Harvard, Vancouver, ISO, and other styles

26

Et al., Samoon Safiullah. "An Empirical Study on Monetary Policy and Economic Growth: The case of Indonesia using an ARDL – ECM Approach." Psychology and Education Journal 58, no. 1 (January 15, 2021): 5908–22. http://dx.doi.org/10.17762/pae.v58i1.2004.

Full text

Abstract:

This study explores the role of monetary policy instruments, particularly through the board money supply and inflation, in support of economic growth in Indonesia. The research base on the long-run co-integration approach using the data from 1970 to 2019. The goal of this study complies with applying the Autoregressive Distributed Lag (ARDL), and Error Correction Model (ECM), for finding out the long-run co-integration approach among dependents and independent variables. The research includes the Augmented Dickey-Fuller (ADF) unit root test for stationary analysis. The ECM results show that inflation plays a significant but negative role in economic growth in Indonesia. On the other hand, the money supply has also inversely related to the country's economic growth but not significant

APA, Harvard, Vancouver, ISO, and other styles

27

Kashif, Mohammad, Satish Kumar Singh, S. Thiyagarajan, and Abhishek Maheshwari. "Linear and Nonlinear Causal Relationships Between International Reserves and Economic Growth: Evidence from India." Asia-Pacific Journal of Management Research and Innovation 16, no. 1 (March 2020): 54–59. http://dx.doi.org/10.1177/2319510x19898633.

Full text

Abstract:

This study investigates linear and nonlinear causal relationships between accumulated international reserves (IR) and economic growth (Econ) in the case of India. The present study is carried out using quarterly data ranging from the period of the first quarter of 1985 to the fourth quarter of 2014. The study used econometric tools such as the augmented Dickey–Fuller (ADF) unit root test, the linear Granger causality test, Johansen’s cointegration test, the Brock, Dechert and Scheinkman (BDS) test and the nonlinear Granger causality test developed by Hiemstra and Jones. The study establishes that there exists a bidirectional linear causality. The Hiemstra and Jones test reveals a bidirectional nonlinear causal relationship between the variables. In light of these results, the study suggests that reserves accumulation can be implemented in India provided that excess of reserves are invested in alternative sources such as economic infrastructure projects and regional infrastructure development.

APA, Harvard, Vancouver, ISO, and other styles

28

Dhungana, Yub Raj. "Predictability of Stock Returns on the Dhaka Stock Exchange." Batuk 6, no. 2 (July 1, 2020): 87–96. http://dx.doi.org/10.3126/batuk.v6i2.34519.

Full text

Abstract:

The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.

APA, Harvard, Vancouver, ISO, and other styles

29

Dinç, Dilek Temiz, Aytaç Gökmen, and Seda Soygür. "Fresh Fruit and Vegetable Exportation of Turkey and its Contribution to the Economic Growth." International Journal of Sustainable Economies Management 7, no. 3 (July 2018): 1–18. http://dx.doi.org/10.4018/ijsem.2018070101.

Full text

Abstract:

Economic growth is indispensable for the development of a country and welfare of its citizens. Economic activities can be improved with the enhancement of business sectors within its structure. Furthermore, exportation is a substantial means of reinforcing economic growth. In this research, the correlation between the fresh fruit & vegetable exportation and the economic growth of the Republic of Turkey is examined. Certain econometric methods as Augmented Dickey Fuller (ADF) test, Unit Root test, Phillips-Perron (PP) Unit Root test, Kwiatkowski, Phillips, Schmidt, Shin (KPSS) Unit Root test, Vector Auto-regression Analysis (VAR), Co-integration Analysis, Error Correction Model (VECM), Impulse-response Functions and Variance Decomposition Analysis are employed to research the correlation for the 2004 Q1-2015 Q4 period. It was concluded that the exportation of fresh fruits and vegetables have a favorable contribution to the economic growth of the Republic of Turkey in the long-run.

APA, Harvard, Vancouver, ISO, and other styles

30

Khan, Rasheed. "THE IMPACT OF EXPORTS ON ECONOMIC GROWTH OF PAKISTAN AND INDIA." Pakistan Journal of Humanities and Social Sciences Research 2, no. 02 (December 30, 2019): 77–89. http://dx.doi.org/10.37605/pjhssr.2.2.7.

Full text

Abstract:

The aim of this study is to investigate the impact of exports on economic growth of Pakistan and India for the period of 1990 to 2016. The unit root test namely Augmented Dickey Fuller (ADF) test was used to identify stationarity in the data. The method of Fully Modified Ordinary Least Squares (FMOLS) was employed to estimate the coefficient of the variables. The FMOLS results exhibit that exports is having positive and significant impact on economic growth in both countries. Moreover, the empirical results reveal that Foreign Direct Investment (FDI) inflow and human capital have also positive and significant effect on the economic growth. The findings of this study suggest that policy makers need to make effective policies in order to increase the volume of exports as well as attract direct foreign investment and encourage human capital in order to stimulate economic growth.

APA, Harvard, Vancouver, ISO, and other styles

31

Owolabi-Merus, O. "Re-Examining the Wagner’s Law versus Keynesian Hypothesis: Evidence from Nigeria." International Letters of Social and Humanistic Sciences 57 (August 2015): 142–46. http://dx.doi.org/10.18052/www.scipress.com/ilshs.57.142.

Full text

Abstract:

This study investigates the Keynesian and Wagnerian views on public expenditure and economic growth in Nigeria using annual secondary data spanning from 1980 to 2011 obtained from the Central bank of Nigeria (CBN) statistical bulletins. The Augmented Dickey-Fuller (ADF), Johansen Cointegration and Granger Causality econometric methodologies were used in this study. The Johansen Cointegration test revealed the presence of a long-run cointegrated relationship between government expenditure (capital expenditure and recurrent expenditure) and economic growth (GDP) in Nigeria. The Granger Causality test found no mutual correlation between government expenditure (capital expenditure and recurrent expenditure) and economic growth (GDP) using the benchmark of 5% level of statistical significance. The findings of this study therefore indicate the non-existence of both Wagner’s Law and Keynesian Hypothesis on public expenditure and economic growth in Nigeria during the period under review.

APA, Harvard, Vancouver, ISO, and other styles

32

Parvin, Shahanaj, and Murshida Khanam. "Comparison Between ARIMA and VAR Model Regarding the Forecasting of the Price of Jute Goods in Bangladesh." Dhaka University Journal of Science 66, no. 2 (July 26, 2018): 91–94. http://dx.doi.org/10.3329/dujs.v66i2.54551.

Full text

Abstract:

In this study we used Autoregrressive Intigrated Moving Average (ARIMA) and Vector Autoregrressive (VAR) model to analyze and forecast the price of total Jute Goods with four of its types, where data has been collected from Bangladesh Jute Mills Corporation (BJMC) from the year 1980-81 to 2013-2014. In this study, a comparison has been made regarding ARIMA model and VAR model to investigate which model is the best to forecast. The methodology employed in this study is the co-integration and Granger Causality under VECM. The Augmented Dickey Fuller (ADF) Test has been performed to test the stationarity of the data set. The findings of this study suggested that in forecasting the price of jute goods of Bangladesh, the ARIMA model is more efficient than VAR model. Dhaka Univ. J. Sci. 66(2): 91-94, 2018 (July)

APA, Harvard, Vancouver, ISO, and other styles

33

Ahad, Muhammad. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan." Global Business Review 18, no. 4 (May 2, 2017): 811–24. http://dx.doi.org/10.1177/0972150917692209.

Full text

Abstract:

This study has investigated money demand function incorporating financial development, industrial production, income and exchange rate for Pakistan for time span from 1972 to 2012. Bayer–Hanck combined cointegration and Johansen cointegration approaches have been used to test cointegration among variables and vector error correction model (VECM) approach has been applied to explain the direction of causality in the long run and short run. Unit root problem has been tested by augmented Dickey–Fuller (ADF) and Phillips–Perron (PP) unit root tests. The results indicate that feedback effect is found between financial development and money demand. There is a long-run relationship existing among money demand, financial development, income, industrial production and exchange rate. Financial development is the main factor to determine money demand function in both long run and short run.

APA, Harvard, Vancouver, ISO, and other styles

34

Alshihab, Salem, and Nayef AlShammari. "Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?" International Journal of Financial Research 11, no. 6 (December 1, 2020): 1. http://dx.doi.org/10.5430/ijfr.v11n6p1.

Full text

Abstract:

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

APA, Harvard, Vancouver, ISO, and other styles

35

Sarker, Swati Anindita, Shouyang Wang, and K. M. Mehedi Adnan. "Energy Consumption and Economic Growth Nexus in Bangladesh." Journal of Systems Science and Information 7, no. 6 (December 18, 2019): 497–509. http://dx.doi.org/10.21078/jssi-2019-497-13.

Full text

Abstract:

Abstract The empirical investigation that examines the dynamics including the interaction between consumption of energy and economic progress has long been assessed. However, the interaction of these two in developing countries in general and Bangladesh, in particular, is a less explored subject. Hence, with this notion, this study examined the causal relationship among economic growth and energy consumption in Bangladesh. For this purpose, the study used energy consumption, gross domestic product (GDP), labor force, and capital data from 1981 to 2017 from different sources and data is analyzed by augmented Dickey-Fuller (ADF) unit root test, Johansen co-integration test and Granger test of causality. Results determine that energy consumption and economic growth have long term bi-directional relationship. The econometric model is estimated using generalized least squares (GLS) model. It is concluded that, consumption of energy and economic growth positively correlated and economic development highly depend on energy consumption in Bangladesh.

APA, Harvard, Vancouver, ISO, and other styles

36

Septina, Fanny. "Determinan Ekspor Di Indonesia." Jurnal Ecodemica: Jurnal Ekonomi, Manajemen, dan Bisnis 4, no. 2 (September 1, 2020): 307–17. http://dx.doi.org/10.31294/jeco.v4i2.8275.

Full text

Abstract:

ABSTRACTThis study aims to explore macroeconomic factors that affect non-oil and gas exports in Indonesia. The research data are non-oil and gas export data, Gross Domestic Product, inflation, US dollar exchange rate, foreign direct investment in the 2010-2019 period published by Bank Indonesia statistics. The research method uses the Vector Error Correction Model (VECM) analysis with the Augmented Dickey Fuller (ADF) stationary test, Johansen's cointegration test, Granger causality test, Error Correction Model. The results showed there was a cointegration relationship between all dependent and independent variables, a direct relationship with the US dollar exchange rate and inflation on Gross Domestic Product, Gross Domestic Product on exports. In the short term Gross Domestic Product, inflation, exchange rates, and foreign direct investment have no significant effect on non-oil and gas exports. In the long run, Gross Domestic Product has a significant effect on non-oil and gas exports.Keywords: non-oil export, macroeconomy, cointegration, causality, error correction model

APA, Harvard, Vancouver, ISO, and other styles

37

Okon, Emmanuel O. "Development and Terrorism in Nigeria: Co-Integration and Causality Analysis of Macroeconomic Factors." Indian Journal of Finance and Banking 2, no. 1 (January 27, 2018): 1–33. http://dx.doi.org/10.46281/ijfb.v2i1.90.

Full text

Abstract:

This paper is a cointegration and causality analysis of macroeconomic factors and terrorism in Nigeria using time series data spanning between 1970 and 2016. The stochastic characteristics of each time series was examined using Augmented Dickey Fuller (ADF) test. The result reveals that LOG(GOVX), LOG(INTR), POLX, DLOG(GDPC) and DLOG(OPEN) were in line with the apriori expectation. With this development, some recommendations were made amongst which are that trade openness rate should be all time kept at peak benchmark by adopting tight trade openness while strategic macroeconomic policies should be instituted in order to encourage domestic private investment to enhance the growth of the economy. Nigerian political system has to be stabilized and the government should step up its intelligence gathering capacity as well as training security agents to forcefully combat terrorist group.

APA, Harvard, Vancouver, ISO, and other styles

38

Bhavan, Thangamani. "The Economic Impact of Road Accidents: The Case of Sri Lanka." South Asia Economic Journal 20, no. 1 (March 2019): 124–37. http://dx.doi.org/10.1177/1391561418822210.

Full text

Abstract:

The purpose of this study is to disclose accident-related indices and investigate the extent to which the road accidents impact on the economic performance of Sri Lanka during the period from 1977 to 2016. Annual time-series data are used to evaluate the accident indices for econometric analysis. Augmented Dickey–Fuller (ADF) unit root analysis and Johansen’s maximum likelihood estimator of the parameters of a cointegrating vector error correction model (VECM) are employed to test the stationary properties of the time series and to examine the long-run relationship between the variables, respectively. The results derived from the analysis confirm the existence of long-run relationship between the accident-related indices and macroeconomic indicators. The long-run elasticity values imply the signs and magnitude of impact of the accident indices on macroeconomic indicators. JEL: R41, H510, I310, I32

APA, Harvard, Vancouver, ISO, and other styles

39

Bełdycka-Bórawska, Aneta, Piotr Bórawski, Marta Guth, Andrzej Parzonko, Tomasz Rokicki, Bogdan Klepacki, Marcin Wysokiński, Agnieszka Maciąg, and James Willam Dunn. "Price changes of dairy products in the European Union." Agricultural Economics (Zemědělská ekonomika) 67, No. 9 (September 24, 2021): 373–81. http://dx.doi.org/10.17221/61/2021-agricecon.

Full text

Abstract:

This article presents changes in the prices of milk and other dairy products in the European Union (EU). First, the descriptive statistics of the prices of milk and dairy products are presented, and then correlation and regression analyses were conducted to measure the relationships between the prices. We used the augmented Dickey-Fuller (ADF) test and generalised autoregressive conditional heteroscedasticity (GARCH) model to measure the stationarity and changes in dairy product prices in the EU. At the EU level, we checked the changes in prices of butter, skim milk powder, whole milk powder, Cheddar, Edam, Gouda, Emmental and whey powder. Our analysis confirmed that the butter, skim milk powder, whole milk powder, Cheddar, Edam and Gouda processes depend on previous values. The biggest price changes were observed in whey powder (34.12%), butter (24.46%) and skim milk powder (21.78%).

APA, Harvard, Vancouver, ISO, and other styles

40

Gupta, Rashmi, and Swati Shastri. "Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model." GATR Journal of Business and Economics Review (JBER) Vol. 5 (2) April-June 2020 5, no. 2 (September 30, 2020): 45–58. http://dx.doi.org/10.35609/jber.2020.5.2(1).

Full text

Abstract:

Objective – The objective of this study is to test direction of causality between components of public expenditure and economic growth in India. Methodology/Technique – The paper uses annual data for the period 1980-2015. To measure public expenditure, plan expenditure and non-plan expenditure are used. The econometric methodology employed is Vector Auto regression (VAR) model. Findings – First, the stationary properties of the data were tested using Augmented Dickey-Fuller (ADF) test, Dickey-Fuller (DF) test, and the Phillip-Perron (PP) test and found that variables were non-stationary in level, but stationary in first differences. Then, Johansen- Jueslius cointegration test was employed to test the long-run association among the variables and results suggest an absence of any long-run association between plan expenditure and non-plan expenditure and economic growth in India. The Granger Causality test suggests there is unidirectional causality running from economic growth and non-plan expenditure and plan expenditure and non-plan expenditure and absence of causality public expenditure and economic growth. Novelty – The results of the Forecast Error Variance Decompositions test indicated that innovations in the variables are mostly explained by their own shocks. The impulse responses of the economic growth, plan expenditure and non-plan expenditure with respect to identified shocks are consistent with the results of Variance Decomposition Analysis. Type of Paper: Empirical. JEL Classification: O4, O49, O53. Keywords: Plan Expenditure; Non-plan Expenditure; Economic Growth; Unit Root; Cointegration Test; Granger Causality Test; Forecast Error Variance Decomposition; Impulse Responses. Reference to this paper should be made as follows: Gupta, R; Shastri, S. 2020. Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model, J. Bus. Econ. Review 5(2) 45– 58 https://doi.org/10.35609/jber.2020.5.2(1)

APA, Harvard, Vancouver, ISO, and other styles

41

Sheikh Ali, Ali Yassin, Mohamed Saney Dalmar, and Ali Abdulkadir Ali. "Effects of Foreign Debt and Foreign Aid on Economic Growth in Somalia." International Journal of Economics and Finance 10, no. 11 (October 28, 2018): 95. http://dx.doi.org/10.5539/ijef.v10n11p95.

Full text

Abstract:

This paper aims to assess the effects of foreign debt and foreign aid on economic growth in Somalia from 1970 to 2014. The ordinary least squares (OLS) method was used and basic model assumption tests were also employed. We used the Augmented Dickey−Fuller (ADF) and Philip-Perron (PP) tests for the unit root and the Johansen cointegration test to determine the long-run relationship between the variables. The results of the study show that, in Somalia, foreign debt has an insignificant effect on economic growth, while the foreign aid has positive significant effect on economic growth. The results also indicate that the cointegration method confirms the incidence of long-run association among the variables. There is little research regarding the exact relationship between increasing foreign debt and foreign aid on economic growth in Somalia. This study is also different from previous studies as we used ADF and PP tests for the unit root and the Johansen cointegration test for the long-run relationship between the variables. Additionally, the study used multivariate techniques. The paper concludes that foreign aid is essential in economic growth and several policy implications are proposed.

APA, Harvard, Vancouver, ISO, and other styles

42

Alrabba, Mohammad Ibrahim Malawi. "The Determinants of Unemployment Rate in Jordan: A Multivariate Approach." International Journal of Economics and Finance 9, no. 11 (October 15, 2017): 109. http://dx.doi.org/10.5539/ijef.v9n11p109.

Full text

Abstract:

This study aims to investigate the determinants of unemployment rate in Jordan during the period (1992-2015). The Augmented Dickey- Fuller test (ADF) was utilized to examine the stationarity of the variables of this study. The results have shown that the variables are stationary at different orders, I(0), I(1), and I(2). The Granger causality test found that there is a unidirectional causal relationship running from private investment to unemployment rate.Two tools of analysis were employed: impulse response function and variance decomposition through applying a vector autoregression (VAR) model. The final results have shown that private investment has a negative impact on unemployment rate in Jordan, which explains about 2.64% of the variations in the unemployment rate in the second period and (1.58%) in the fourth period. This percentage also tends to decline to a level at which the explanatory power of private investment for the forecast error in the unemployment rate can reach 1.34% in the ninth period.

APA, Harvard, Vancouver, ISO, and other styles

43

Li, Xin, Chi-Wei Su, Meng Qin, and Fahai Zhao. "Testing for Bubbles in the Chinese Art Market." SAGE Open 10, no. 1 (January 2020): 215824401990124. http://dx.doi.org/10.1177/2158244019901249.

Full text

Abstract:

This article detects the existence of bubbles in the Chinese art market and investigates when the bubbles originate and crash. We utilize the generalized supremum augmented Dickey–Fuller (ADF) test to detect explosive behavior in the Chinese art market. The empirical results indicate that there are two bubbles in the Chinese art market that happened in the periods from 2004 to 2005 and 2010 to 2011. The main reasons are the financialization of artworks, the speculation of investment institution, and the fluctuation of macroeconomics in China. Our findings are in agreement with the bubble model improved by Gürkaynak considering that asset price can be decomposed to bubbles and fundamental parts. Therefore, to favor the Chinese art market price stabilization, the regulators from this market should identify bubbles to notice their evolutions. The authorities should also manage the expectations of the public and reduce speculative behavior.

APA, Harvard, Vancouver, ISO, and other styles

44

Yasmin, Fouzia, Ruqia Shaheen, and Adnan Yasin. "An Analysis of Causal Relationship between Economic Growth and Unemployment: Evidence from Pakistan." ANNALS OF SOCIAL SCIENCES AND PERSPECTIVE 1, no. 1 (June 30, 2020): 09–17. http://dx.doi.org/10.52700/assap.v1i1.14.

Full text

Abstract:

Economic prosperity of any nation relies on the economic progress. The most significant indicator for economic progress is employment generation and it has a negative impact on the overall economy. When there is increase in the employment opportunities overall economic productivity increases as there increase the level of living. Unemployment is also related with poverty. High level of unemployment causes increase in the level of poverty. This research used the data for 1976 to 2017 from various secondary sources. After examining the nature of the time series the by using the ADF (Augmented Dickey Fuller) test the ARDL model was used for the analysis. The results illustrate the inverse impact of unemployment on the economic performance in the country.Increase in labor supply which causes to increase in unemployment the study concluded that enhanced economic activities as increase in employment opportunities which leads to increase in overall economic wellbeing

APA, Harvard, Vancouver, ISO, and other styles

45

Amaefula, C. G. "A Simple Integration Order Test: An Alternative to Unit Root Testing." European Journal of Mathematics and Statistics 2, no. 3 (July 24, 2021): 77–85. http://dx.doi.org/10.24018/ejmath.2021.2.3.22.

Full text

Abstract:

The paper introduces order of integration test (OIT) which serves as a simple alternative to unit root test built generally using auxiliary autoregressive AAR(3) model. The parametric boundary conditions necessary and sufficient for testing the null hypothesis that the non-stationary variable under test is integrated order zero I(0) were estimated via generalized least squares (GLS). The decision on the hypothesis is evaluated using t-statistic. The test procedure was applied to a simulated non-stationary series (y1) of sample size n = 2000 and a known non-stationary time series data (y2) with two unit roots. The results showed that y1 is integrated order one (I(1)) and y2 is I(2). These results were confirmed by Augmented Dickey Fuller (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, and Shin (KPSS); Elliot, Rothenberg, and Stock Point Optimal (ERS) and Ng and Perron (NP) unit root tests. For logarithm transformed variable, the divergent opinions of other unit root tests in clear-cut solution of the integrated order of such variable makes the new test procedure a better alternative. Nevertheless, the simplicity and aptness of the integration order test give it leverage over conventional methods of unit root test.

APA, Harvard, Vancouver, ISO, and other styles

46

Yusfiarto, Rizaldi, and Galuh Tri Pambekti. "EFFECT OF MACROECONOMIC VARIABLES ON JAKARTA ISLAMIC INDEX: EVIDENCE THE GLOBAL TRADE WAR PHENOMENON." Media Ekonomi 27, no. 2 (July 29, 2020): 119. http://dx.doi.org/10.25105/me.v27i2.6189.

Full text

Abstract:

<p><em>The development of investment in the Islamic capital market, especially the Jakarta Islamic Index (JII) as a percentage, experienced significant development, and it is because the Islamic index uses Islamic principles and procedures. The phenomenon of the trade war between the United States and China has an impact on macro variable fluctuations, which can empirically influence the growth of the sharia index. For this reason, this study aims to analyze the impact of change due to the trade war sentiment. Macroeconomic variables used in this study are the USD / IDR exchange rate, the CNY / IDR exchange rate, inflation, Crude oil WTI, and ICP Crude oil. This study uses a vector autoregression analysis (VAR) technique. Stationarity test using the Augmented Dickey-Fuller test (ADF test) and the Philips-Perron Test. The analysis shows that there is an influence between changes in exchange rates and changes in crude oil prices on the return of the Jakarta Islamic Index (JII) in the range of research data periods used.</em></p>

APA, Harvard, Vancouver, ISO, and other styles

47

Dinç, Dilek Temiz, Aytaç Gökmen, and Zehra Burçin Kanık. "Energy Policy Issues in Turkey." International Journal of Sustainable Economies Management 6, no. 3 (July 2017): 50–65. http://dx.doi.org/10.4018/ijsem.2017070105.

Full text

Abstract:

Energy is the source of development of the mankind and an indispensable input for economic growth. Currently, most of the energy consumed in the world is composed of fossil fuels which are not environmentally friendly and reliable since their prices are volatile and their supply compels importing countries dependent on energy exporting countries. Thus, a good remedy to reduce fossil fuel dependency is to utilize more renewable energy resources. Renewable resources can be replenished quickly, are almost infinite and would lead a country to sustainable development. The Republic of Turkey is a net importer of energy. The diversification of energy sources and supply security is of great importance for it. Thus, the objective of this study is to analyze the relationship between renewable energy production and economic growth in Turkey by using Johansen Cointegration Test, Vector Error Correction Model (VECM), Granger Causality Test and the Augmented Dickey-Fuller Test (ADF). Consequently, both long run and short run a casualty running from GDP growth to renewable energy production is determined in the study.

APA, Harvard, Vancouver, ISO, and other styles

48

Oyakhilomen, Oyinbo. "Causality of Interest Rate Policy and Agricultural Production in an Atmosphere of Economic Deregulation in Nigeria." Agricultura Tropica et Subtropica 47, no. 2 (June 1, 2014): 68–71. http://dx.doi.org/10.2478/ats-2014-0009.

Full text

Abstract:

Abstract This study was carried out to examine the causal relationship between interest rate policy and agricultural production in a deregulated economic setting in Nigeria using time series data covering 1987 to 2011. The data utilized include data on interest rate and agricultural production which were obtained from various publications of central bank of Nigeria. Augmented Dickey Fuller (ADF) test, Vector autoregression (VAR) lag order selection test and granger causality test were employed in the data analysis and the result indicated that market driven interest rate was not significant in influencing agricultural production over the period of deregulation and this was attributed to the substantial volatility and high market driven interest rate leading to limited accessibility to credit facilities by small scale farmers. It is recommended that the central bank of Nigeria should strongly exercise some measure of interest rate control that favours investment friendly interest rate policy that is supportive of credit mobilization for sustainable agricultural production and also the realization of the goal of Agricultural Transformation Action Plan (ATAP) in Nigeria

APA, Harvard, Vancouver, ISO, and other styles

49

Olaoye, Clement Olatunji, Ayobolawole Adewale Ogundipe, and Oladimeji Emmanuel Oluwadare. "Tax Revenue and Economic Development in Nigeria." Advances in Social Sciences Research Journal 6, no. 9 (October 8, 2019): 312–21. http://dx.doi.org/10.14738/assrj.69.7109.

Full text

Abstract:

This study investigated the impact of taxation on economic development of Nigeria from 2003 to 2017.Vector Error Correction Model (VECM), Augmented Dickey-Fuller (ADF) unit root test, Autoregressive Distributed Lag (ARDL) bounds test, Jarque-Bera Normality Test and Eigenvalue stability condition were utilised in this study. The study revealed that companies’ income tax, petroleum profit and value added tax have a long run impact of -0.225(p-value=0.000),-0.0005 (p-value=0.699), and 0.211(p-value=0.000) respectively on the economic development of Nigeria.It was concluded that taxation has a significant long run relationship with Nigeria’s economic development. The study recommended that the government should not increase companies’ income tax rate because it is detrimental to the economic development of the country in the long run, instead the government should increase the value added tax because it has the potentiality to improve economic development of Nigeria. Also, the government should not concentrate effort on petroleum profit tax as it not significant on economic development of the country.

APA, Harvard, Vancouver, ISO, and other styles

50

Ali, Hina, and Zahra Masood Bhutta. "Financial Development and Economic Growth Nexus in Pakistan: An Analysis of Bound Testing Approach." Sukkur IBA Journal of Economics and Finance 2, no. 1 (September 6, 2018): 10. http://dx.doi.org/10.30537/sijef.v2i1.199.

Full text

Abstract:

This study researches on the financial development and economic growth in Pakistan. The study demonstrates the correlation connecting financial development and economic growth from the range of time, 1974 - 2014. For checking the stationarity of variables, Augmented Dickey-Fuller (ADF) and Philip-Peron (P.P) unit root technique is applied. To elaborate long-run relationship, ARDL (autoregressive distributed lag) and Bound test is conducted. By ARDL technique, study investigate that Gross Domestic Product, Money supply, Exchange rate, Gross fixed capital formation, Domestic Savings and Trade Openness are assimilated. According to research findings: economic growth directly related to money supply (M2) and domestic saving in long-run but money supply illustrates insignificant impact. The study uses GDP as endogenous variable and represents Economic growth. While M2 as exogenous variable which represents financial development and financial liberalization. Current researches seek to establish direct relation of economic growth with trade openness and money supply. Pakistani researchers aim to examine the association of economic policies with financial satisfaction over the globe.

APA, Harvard, Vancouver, ISO, and other styles

Journal articles on the topic 'ADF(Augmented Dickey-Fuller Test)'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles