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Artículos de revistas sobre el tema "Cointegration"

Autor: Grafiati

Publicado: 4 de junio de 2021

Última modificación: 25 de julio de 2025

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1

Gallimore, Paul, J. Andrew Hansz, Wikrom Prombutr, and Ying Zhang. "International Real Estate Review." International Real Estate Review 17, no. 3 (2014): 359–94. http://dx.doi.org/10.53383/100189.

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We investigate long-term cointegrative and short-term causal relations among seven U.S. sectoral REITs. First, cointegration tests identify one long-term cointegrative relation among five of the sectors, which suggests that two of the sectors are outside the cointegrative space. Second, short-term Granger causality tests identify three leading and two following cointegrated sectors. Third, a proposed vector autoregressive model indicates that a stronger cointegrating effect is induced by declining real estate markets and a multivariate sensitivity regression model shows that unexpected inflati

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2

COOK, STEVEN. "ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005." Annals of Financial Economics 02, no. 01 (2006): 0650003. http://dx.doi.org/10.1142/s2010495206500035.

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The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and industrial production for a long span of US data. In recognition of factors which may result in a failure to detect a genuine cointegrating relationship, the analysis is extended to consider higher-powered cointegration tests, tests which allow for structural change in the cointegrating relationship and tests of

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3

Bernstein, David, and Bent Nielsen. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient." Econometrics 7, no. 1 (2019): 6. http://dx.doi.org/10.3390/econometrics7010006.

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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 to US treasury yields series is given.

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4

Aue, Alexander, Lajos Horváth, Clifford Hurvich, and Philippe Soulier. "LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS." Econometric Theory 30, no. 3 (2013): 536–79. http://dx.doi.org/10.1017/s0266466613000406.

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We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility and nontrading periods that may be different for the two assets. We also allow for asymmetries (leverage effects). We obtain the asymptotic distribution of the log-price process. For the weak fractional cointegration case, we obtain the asymptotic distribution of the ordinary least squares estimator of the cointegrating parameter based

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5

Kim, Soohyeon, and Surim Oh. "Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price." Energies 13, no. 17 (2020): 4479. http://dx.doi.org/10.3390/en13174479.

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The rise of shale resources in the United States is changing the petrochemical industries. Ethylene, the first building block of petrochemical products, is becoming the first target to be hit by the shale boom, and its shifting price dynamics needs to be explored. This study analyzes the transition of ethylene prices from crude oil to natural gas (vertical price dynamics) and investigates widening gaps among regional ethylene prices (horizontal price dynamics). To do this, we detect structural changes in cointegrating relationships and derive time-varying cointegration equations. In addition,

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6

Sugita, Katsuhiro. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model." International Journal of Economics and Finance 9, no. 3 (2017): 49. http://dx.doi.org/10.5539/ijef.v9n3p49.

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This paper examines the US term structure of interest rates using a Bayesian Markov switching cointegration model that allows the cointegrating vectors, the number of cointegrating rank, the risk premium, and other parameters to change when regime shifts. We find that for any pair of the interest rates there is a strong support for the cointegrating implication of the expectation hypothesis at least in a stable regime, while for some pairs of the interest rates the cointegration does not occur in a high volatility regime. We find that a Markov switching cointegration model captures regime shif

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7

Shin, Yongcheol. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration." Econometric Theory 10, no. 1 (1994): 91–115. http://dx.doi.org/10.1017/s0266466600008240.

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This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips

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8

LEAN, HOOI HOOI, PARESH NARAYAN, and RUSSELL SMYTH. "EXCHANGE RATE AND STOCK PRICE INTERACTION IN MAJOR ASIAN MARKETS: EVIDENCE FOR INDIVIDUAL COUNTRIES AND PANELS ALLOWING FOR STRUCTURAL BREAKS." Singapore Economic Review 56, no. 02 (2011): 255–77. http://dx.doi.org/10.1142/s0217590811004250.

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This article examines the relationship between exchange rates and stock prices in eight Asian countries. We test for cointegration and Granger causality for both individual countries using the Gregory and Hansen cointegration test that accommodates a structural break in the cointegrating vector, and for a panel using the Westerlund panel Lagrange multiplier (LM) cointegration test that allows for multiple structural breaks in the level of the individual cointegrating equations. Our results for individual countries suggest that the only country for which exchange rates and stock prices are coin

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9

Dao, Phong B. "On Cointegration Analysis for Condition Monitoring and Fault Detection of Wind Turbines Using SCADA Data." Energies 16, no. 5 (2023): 2352. http://dx.doi.org/10.3390/en16052352.

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Cointegration theory has been recently proposed for condition monitoring and fault detection of wind turbines. However, the existing cointegration-based methods and results presented in the literature are limited and not encouraging enough for the broader deployment of the technique. To close this research gap, this paper presents a new investigation on cointegration for wind turbine monitoring using a four-year SCADA data set acquired from a commercial wind turbine. A gearbox fault is used as a testing case to validate the analysis. A cointegration-based wind turbine monitoring model is estab

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10

Bierens, Herman J., and Luis F. Martins. "TIME-VARYING COINTEGRATION." Econometric Theory 26, no. 5 (2010): 1453–90. http://dx.doi.org/10.1017/s0266466609990648.

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In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.

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11

Jain, Abhimanyu, Himanshu Goel, Sakshi Jain, and Yukta Sharma. "Nexus between Foreign Institutional Investors and NSE during Covid." MUDRA: Journal of Finance and Accounting 9, no. 2 (2022): 60–71. http://dx.doi.org/10.17492/jpi.mudra.v9i2.922204.

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This paper aims to analyze the relation between FII and Nifty50. An empirical investigation has been conducted to determine the cointegration and causality between FII and Nifty50 using Johansen’s cointegration and Granger causality techniques. Monthly data points spanning the year 2021 have been used for empirical investigation. Empirical results of the cointegration technique reveal no cointegrating equations between the FII and Nifty50. The results of Granger causality reveals that there is no significant relationship between FII and Nifty50. The results of this paper can be useful for reta

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12

Lee, Chin, M. Azali, Zulkornain B. Yusop, and Mohammed B. Yusoff. "IS MALAYSIA EXCHANGE RATE MISALIGNMENT BEFORE THE 1997 CRISIS?" Labuan Bulletin of International Business and Finance (LBIBF) 6 (December 31, 2008): 1–18. http://dx.doi.org/10.51200/lbibf.v6i.2590.

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This paper seeks to use the flexible-price monetary model in the cointegration and vector error correction model (VECM) contexts to determine whether there was misalignment in the Malaysian ringgit - U.S. dollar before the 1997 currency crisis. Unit roots, cointegration and weak exogeneity are tested to validate the monetary exchange rate model. Generally, it is found that all the series are I(1) process and there exists significant cointegrating vectors. Using the cointegrating vector and the final parsimonious VECM, out of sample predictions for Ringgit exchange rate are generated. The resul

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13

Olaniran, Saidat Fehintola, Oyebayo Ridwan Olaniran, Jeza Allohibi, and Abdulmajeed Atiah Alharbi. "A Novel Approach for Testing Fractional Cointegration in Panel Data Models with Fixed Effects." Fractal and Fractional 8, no. 9 (2024): 527. http://dx.doi.org/10.3390/fractalfract8090527.

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Fractional cointegration in time series data has been explored by several authors, but panel data applications have been largely neglected. A previous study of ours discovered that the Chen and Hurvich fractional cointegration test for time series was fairly robust to a moderate degree of heterogeneity across sections of the six tests considered. Therefore, this paper advances a customized version of the Chen and Hurvich methodology to detect cointegrating connections in panels with unobserved fixed effects. Specifically, we develop a test statistic that accommodates variation in the long-term

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14

Lu, F., and Qian Chen. "Investigation of Condition Monitoring of a Flap System." Key Engineering Materials 413-414 (June 2009): 521–28. http://dx.doi.org/10.4028/www.scientific.net/kem.413-414.521.

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This paper presents an initiative research work that applies cointegration testing method to the condition monitoring and fault diagnosis of nonstationary dynamic engineering systems. The cointegration testing method seeks a linear combination of a set of nonstationary system variables which describes the dynamic equilibrium relations among them. The fact that the cointegrational model could be violated on the occurrence of a fault is utilised to detect abnormal conditions. The model residuals are processed and analyzed to extract the fault features. In this paper it is demonstrated that the c

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15

Duguleana, Constantin. "COINTEGRATING THE LONG-RUN RELATIONSHIP OF ECONOMIC VARIABLES." SERIES V - ECONOMIC SCIENCES 14(63), no. 1 (2021): 139–52. http://dx.doi.org/10.31926/but.es.2021.14.63.1.15.

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"The economic non-stationary time series often have long-run relationships. The cointegration relationship of time variables describes the continuous adaptation to their equilibrium in the long-run. This paper presents the ways of analysing and modelling the cointegration of time series. The Error Correction Model, as a main tool, and the Engle-Granger method are used to estimate the cointegration in the case of the long-run relationship between the quarterly GDP and the Final Consumption in Romania during the period 1995 – 2019. The practical importance of applying the cointegrating model con

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16

Xiao, Zhijie, and Peter C. B. Phillips. "EFFICIENT DETRENDING IN COINTEGRATING REGRESSION." Econometric Theory 15, no. 4 (1999): 519–48. http://dx.doi.org/10.1017/s0266466699154033.

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This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to infinity.

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17

Black, Angela J., David G. McMillan, and Fiona J. McMillan. "Cointegration between stock prices, dividends, output and consumption." Review of Accounting and Finance 14, no. 1 (2015): 81–103. http://dx.doi.org/10.1108/raf-09-2013-0103.

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Purpose – This paper aims to empirically test for multiple cointegrating vectors in a holistic manner. Theoretical developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify key theoretical cointegration vectors. Design/methodology/approach – This paper considers both Johansen and Horvath–Watson testing approaches for cointegration. This paper also examines the forecasting power of these cointegrating relationships against alternate forecast variables. Findings – The results suggest evidence of a long-run cointegrating rel

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18

Choi, In, Joon Y. Park, and Byungchul Yu. "Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables." Econometric Theory 13, no. 6 (1997): 850–76. http://dx.doi.org/10.1017/s0266466600006290.

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This paper introduces tests for the null of cointegration in the presence of I(1) and I(2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I(1) and I(2) variables is also introduced. The distributions of the cointegration tests are nonstandard, and hence their percentiles are tabulated by using simulation. Monte Carlo simulation results to stu

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19

Zivot, Eric. "THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED." Econometric Theory 16, no. 3 (2000): 407–39. http://dx.doi.org/10.1017/s0266466600163054.

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In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t-test for cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of Hansen's (1995, Econometric Theory 11, 1148–1171) covariate augmented t-test for a unit root, is valid for weakly exogenous regressors and depends on a consistently estimable nuisance parameter that takes on values in the unit

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20

Paruolo, Paolo. "LR cointegration tests when some cointegrating relations are known." Statistical Methods & Applications 10, no. 1-3 (2001): 123–37. http://dx.doi.org/10.1007/bf02511644.

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21

Biondini, Riccardo, Yan-Xia Lin, and Michael Mccrae. "A case study of the residual-based cointegration procedure." Journal of Applied Mathematics and Decision Sciences 7, no. 1 (2003): 29–48. http://dx.doi.org/10.1155/s1173912603000038.

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The study of long-run equilibrium processes is a significant component of economic and finance theory. The Johansen technique for identifying the existence of such long-run stationary equilibrium conditions among financial time series allows the identification of all potential linearly independent cointegrating vectors within a given system of eligible financial time series. The practical application of the technique may be restricted, however, by the pre-condition that the underlying data generating process fits a finite-order vector autoregression (VAR) model with white noise. This paper stu

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22

Shehu, Maimuna M., and Ibrahim M. Adamu. "Determinants of Budget Deficit in Nigeria." Journal of International Business, Economics and Entrepreneurship 6, no. 1 (2021): 1. http://dx.doi.org/10.24191/jibe.v6i1.14199.

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This paper investigates the factors governing the determination of budget deficit in Nigeria from 1981q1 through 2016q4. Our methodology is based on Johansen cointegration and Vector Error Correction model (VECM) approach. The result from the Johansen cointegration test suggests one cointegrating vector, which indicates the existence of a long run cointegrating relationship. Evidence from the long run and short run parameters suggest that exchange rate, interest rate and one year lag of budget deficit are the major determinants of budget deficit. Therefore, to achieve a realistic fiscal surplu

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23

Dao, Phong B., and Wieslaw Jerzy Staszewski. "Damage Detection Using Cointegration Technique and Wavelet Analysis of the Post-Cointegrated Lamb Waves." Key Engineering Materials 569-570 (July 2013): 908–15. http://dx.doi.org/10.4028/www.scientific.net/kem.569-570.908.

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This paper presents an application of Lamb-wave-based damage detection under varying temperature conditions. The method used is based on the cointegration technique and wavelet analysis that are partially built on the analysis of non-stationary behaviour and multi-resolution decomposition of time series, respectively. Instead of directly using Lamb wave data for damage detection, two approaches are used: (1) analysis of cointegrating residuals obtained from the cointegration process of Lamb wave responses and (2) analysis of stationary characteristics of the multi-level wavelet decomposed coin

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24

Hwan Seo, Myung. "ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS." Econometric Theory 27, no. 2 (2010): 201–34. http://dx.doi.org/10.1017/s026646661000023x.

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Asymptotic theory for the estimation of nonlinear vector error correction models that exhibit regime-specific short-run dynamics is developed. In particular, regimes are determined by the error correction term, and the transition between regimes is allowed to be discontinuous, as in, e.g., threshold cointegration. Several nonregular problems are resolved. First of all, consistency—square rootnconsistency for the cointegrating vectorβ—is established for the least squares estimation of this general class of models. Second, the convergence rates are obtained for the least squares of threshold coi

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25

Iorngurum, Tersoo. "Gauging the Effects of Modern Payment Technologies Adoption on the Demand for Money in Nigeria." Economic Analysis 52, no. 2 (2019): 12–27. http://dx.doi.org/10.28934/ea.19.52.2.pp12-27.

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In contrast to the global intermediate goals of monetary policy, “financial exclusion” remains prevalent. Therefore, using the Nigerian economy as a point of reference, this paper attempts to shed more light on the role played by modern payment technologies in promoting financial inclusion, especially as it relates to the provision of currency in the hands of the Nigerian public for liquidity services during the period 2009:Q1 to 2017:Q4. In actualizing this objective, the Johansen cointegration method is employed to test for cointegration alongside vector error correction modeling (VECM) tech

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26

Hyun, Hea-Jung. "QUALITY OF INSTITUTIONS AND FOREIGN DIRECT INVESTMENT IN DEVELOPING COUNTRIES: CAUSALITY TESTS FOR CROSS‐COUNTRY PANELS." Journal of Business Economics and Management 7, no. 3 (2006): 103–10. http://dx.doi.org/10.3846/16111699.2006.9636130.

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This paper analyzes the short-run and long-run dynamics between quality of institutions and foreign direct investment (FDI) in the sample of 62 developing countries covering the period 1984–2003. Panel cointegration test and FM OLS (Fully Modified OLS) estimators are used to test for cointegration. For short‐run dynamics, we estimate error correction model using fixed effect OLS and system GMM estimators. Institutional quality and FDI are found to have bi‐directional cointegrating relationship in the long-run. However, there is no evidence in favor of short-run causality between two variables.

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27

Martínez Compains, Jorge, Ignacio Rodríguez Carreño, Ramazan Gençay, Tommaso Trani, and Daniel Ramos Vilardell. "Recovering cointegration via wavelets in the presence of non-linear patterns." Studies in Nonlinear Dynamics & Econometrics 25, no. 5 (2021): 255–65. http://dx.doi.org/10.1515/snde-2018-0120.

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Abstract Johansen’s Cointegration Test (JCT) performs remarkably well in finding stable bivariate cointegration relationships. Nonetheless, the JCT is not necessarily designed to detect such relationships in presence of non-linear patterns such as structural breaks or cycles that fall in the low frequency portion of the spectrum. Seasonal adjustment procedures might not detect such non-linear patterns, and thus, we expose the difficulty in identifying cointegrating relations under the traditional use of JCT. Within several Monte Carlo experiments, we show that wavelets can empower more the JCT

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Alizade, Arzu Rafik. "Johansen’s Cointegration Analysis of Some Factors of Economic Growth and Exports of Products from the Republic of Azerbaijan to Ukraine." PROBLEMS OF ECONOMY 2, no. 60 (2024): 5–20. http://dx.doi.org/10.32983/2222-0712-2024-2-5-20.

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In the present paper, a Johansen’s cointegration analysis is carried out considering the volume of exports from Azerbaijan to Ukraine, GDP per capita of Ukraine, the openness of the economy of Ukraine and the economically active population of Azerbaijan for the period 1996-2022, also a comparative analysis of the above indicators is carried out, the characteristics of joint short-term and long-term movements are determined. In the course of research the author used the methodology of modified gravitational modeling, the econometric methodology of time series analysis, including tests for check

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BAILLIE, RICHARD T., and TIM BOLLERSLEV. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics." Journal of Finance 49, no. 2 (1994): 737–45. http://dx.doi.org/10.1111/j.1540-6261.1994.tb05161.x.

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Jumah, Adusei, and Robert M. Kunst. "Prediction of Consumption and Income in National Accounts: Simulation-Based Forecast Model Selection." Engineering Proceedings 5, no. 1 (2021): 55. http://dx.doi.org/10.3390/engproc2021005055.

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Simulation-based forecast model selection considers two candidate forecast model classes, simulates from both models fitted to data, applies both forecast models to simulated structures, and evaluates the relative benefit of each candidate prediction tool. This approach, for example, determines a sample size beyond which a candidate predicts best. In an application, aggregate household consumption and disposable income provide an example for error correction. With panel data for European countries, we explore whether and to what degree the cointegration properties benefit forecasting. It evolv

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31

Elliott, Graham, and Elena Pesavento. "TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT." Econometric Theory 25, no. 6 (2009): 1829–50. http://dx.doi.org/10.1017/s026646660999034x.

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A number of tests have been suggested for the test of the null of no cointegration. Under this null, correlations are spurious in the sense of Granger and Newbold (1974) and Phillips (1986). We examine a set of models local to the null of no cointegration and derive tests with optimality properties in order to examine the efficiency of available tests. We find that, for a sufficiently tight weighting over potential cointegrating vectors, commonly employed full system tests have power that can, in some situations, be quite far from the power bounds for the models examined.

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Malumisa, Sambulo. "Structural Breaks, Stability and Demand for Money in South Africa." Journal of Economics and Behavioral Studies 7, no. 5(J) (2015): 79–90. http://dx.doi.org/10.22610/jebs.v7i5(j).608.

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The paper tests the null hypothesis of a stable long-run money demand in South Africa over the period 1970-2013. We employ the Gregory-Hansen (GH) method to test for the possibility of structural breaks in the money demand function. The Johansen Maximum likelihood procedure is carried out to determine the cointegration vector from which existence of one cointegrating vector is supported. Also based on the GH criterion, there is existence of one cointegrating vector. GH proposes three structural breaks for the money demand function. Results suggest that endogenous breaks occurred in 1991 and 19

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Sinha, Narain, and Strike Mbulawa. "Government expenditure on health and economic growth in Botswana." International Journal of Research in Business and Social Science (2147- 4478) 12, no. 2 (2023): 204–16. http://dx.doi.org/10.20525/ijrbs.v12i2.2280.

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This study examines the relationship between government expenditure on health and economic growth in Botswana. It seeks to test the existence of cointegration and specification of the deterministic components with special reference to the Pantula Principle. This helps to overcome the shortfall of the method by Johansen, which may lead to spurious results by omitting the presence of deterministic components in the analysis. The cointegration approach is used and tested using three methods by Engle and Granger (1987) or EG, a procedure suggested by Johansen (1988) and error correction model (ECM

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Barigozzi, Matteo, Marco Lippi, and Matteo Luciani. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors." Econometrics 8, no. 1 (2020): 3. http://dx.doi.org/10.3390/econometrics8010003.

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Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q < r . The present paper studies cointegration and error correction representations for an I ( 1 ) singular stochastic vector y t . It is easily seen that y t is necessarily cointegrated with cointegrating rank c ≥ r − q . Our contributions are: (i) we generalize Johansen’s proof of the Granger representation theorem to I ( 1 ) singula

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35

Cernohorska, Libena. "The relationship between M3 and consumer price index in the Czech Republic." New Trends and Issues Proceedings on Humanities and Social Sciences 4, no. 10 (2018): 226–36. http://dx.doi.org/10.18844/prosoc.v4i10.3081.

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This paper aimed at analysing the influence of monetary aggregate M3 on consumer price index (CPI) in the Czech Republic. Cointegrating this selected indicator M3 is demonstrated in relation to the development of CPI using the Engle – Granger cointegration test. These tests are applied to selected statistical data from the years 2003 to 2016. After using the Akaike criteria for all-time series, we analysed a unit root using the Dickey–Fuller test. If the time series are non-stacionary, testing is then continued with the Engle–Granger test to detect cointegration relations. Based on these tests

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36

Triki, Mohamed Bilel, and Samir Maktouf. "Purchasing power parity as a long-term memory process." International Journal of Emerging Markets 10, no. 4 (2015): 711–25. http://dx.doi.org/10.1108/ijoem-02-2012-0021.

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Purpose – The purpose of this paper is to focus on whether the deviations from the cointegrating relationship possess long memory and the fractional cointegration analyses may capture a wider range of mean-reversion behaviour than standard cointegration analyses. Design/methodology/approach – This paper uses a fractional cointegration technique to test the purchasing power parity (PPP). Findings – The authors found that PPP held, but very weakly, in the long run between the Argentine, Brazil, Chile, Colombia, Indonesia, Korea, Mexico, Thailand and Venezuela and US exchange rate during our floa

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Bhat, Fayaz Ahmad, Shazia Hussain, and Effat Yasmin. "How Does Taxation Affect the Economy in the Long-Run? A Study of Indian States through Panel ARDL Approach." Statistika: Statistics and Economy Journal 105, no. 2 (2025): 245–56. https://doi.org/10.54694/stat.2024.43.

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This study examines the long-term impact of taxation on economic prosperity across 20 major Indian states and union territories from 1993 to 2017. To estimate the long-term relationships, various panel autoregressive distributed lag (P-ARDL) models, including pooled mean group (PMG), mean group (MG), and dynamic fixed effect (DFE) models, are employed. Unit root tests reveal that the variables exhibit a mixed order of integration at the level and first difference. Panel cointegration tests confirm a high likelihood of a long-term cointegrating relationship among economic growth, direct taxes,

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38

Chang, Yoosoon, and Peter C. B. Phillips. "Time Series Regression with Mixtures of Integrated Processes." Econometric Theory 11, no. 5 (1995): 1033–94. http://dx.doi.org/10.1017/s0266466600009968.

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The paper develops a statistical theory for regressions with integrated regressors of unknown order and unknown cointegrating dimension. In practice, we are often unsure whether unit roots or cointegration is present in time series data, and we are also uncertain about the order of integration in some cases. This paper addresses issues of estimation and inference in cases of such uncertainty. Phillips (1995, Econometrica 63, 1023–1078) developed a theory for time series regressions with an unknown mixture of 1(0) and 1(1) variables and established that the method of fully modified ordinary lea

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39

Kasparis, Ioannis. "DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS." Econometric Theory 24, no. 5 (2008): 1373–403. http://dx.doi.org/10.1017/s0266466608080547.

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A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics, 108, 43–61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under functional form misspecification and lack of cointegration. A simulation experiment is carried out to assess the properties of the tests in finite samples. The Dickey–Fuller test is also considered. The simulation results reveal that the first two tests perform reasonably well.

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40

Mladenovic, Zorica. "Prakticni problemi kointegracione analize." Ekonomski anali 43, no. 155 (2002): 35–57. http://dx.doi.org/10.2298/eka0205035m.

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In this paper the solutions some practical problems of cointegration analysis are discussed. We mainly focus on the following phases of the Johansen procedure: the baseline model specification, t determination of the number of cointegrating vectors, the inclusion of the determines components and design of partial mode This is the most commonly used approach analyzing nonstationary macroeconomic time series, due to its complexity and simple modeling based on the computer packages. However, as the application of statistic packages may be useless when methodology is partly known, its full underst

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41

Triacca, Umberto. "COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS." Econometric Theory 16, no. 1 (2000): 102–11. http://dx.doi.org/10.1017/s0266466600161055.

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This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework. This framework allows us to analyze the relationship between cointegration and distance between two information sets. In particular, we prove that if two variables, X and Y, are cointegrated, then the distance between two information sets, concerning the differenced series ΔX and ΔY, must be less than the standard deviation of ΔX.

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42

Abbas, Ghulam, Roni Bhowmik, Laxmi Koju, and Shouyang Wang. "Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan." Journal of Systems Science and Information 5, no. 1 (2017): 1–20. http://dx.doi.org/10.21078/jssi-2017-001-20.

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AbstractThis paper examines the relationship between stock market (KSE-100), money market (M2 and 180 days T-bill rate), and foreign exchange market (ER: PKR/USD) in Pakistan by using monthly data covering the period from 2000:M1 to 2015:M12. The study investigates long-run equilibrium relationship between these three financial markets by employing Johansen and Juselius[1] cointegration tests. Long-run and short-run causality relationship between stock market and other macroeconomic variables is also established by employing vector error correction model (VECM) and pairwise granger causality t

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43

Blake, Nathan S., and Thomas B. Fomby. "Threshold Cointegration." International Economic Review 38, no. 3 (1997): 627. http://dx.doi.org/10.2307/2527284.

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44

Hansen, Bruce E. "Heteroskedastic cointegration." Journal of Econometrics 54, no. 1-3 (1992): 139–58. http://dx.doi.org/10.1016/0304-4076(92)90103-x.

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45

Osborn, Denise R. "Seasonal cointegration." Journal of Econometrics 55, no. 1-2 (1993): 299–303. http://dx.doi.org/10.1016/0304-4076(93)90017-y.

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46

Lee, Hahn Shik. "Maximum likelihood inference on cointegration and seasonal cointegration." Journal of Econometrics 54, no. 1-3 (1992): 1–47. http://dx.doi.org/10.1016/0304-4076(92)90098-c.

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47

Marmol, Francesc, Alvaro Escribano, and Felipe M. Aparicio. "INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION." Econometric Theory 18, no. 3 (2002): 646–72. http://dx.doi.org/10.1017/s0266466602183046.

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In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocovariance and the cross-covariance functions of the series. This characterization leads us to propose a new estimator of the cointegrating parameter based on the instrumental variables (IV) methodology. The instrument is a delayed regressor obtained from the conditional bivariate system of nonstationary fractionally integrated processes with a weakly stationary error correction term. We prove the consistency of this estimator and derive its limiting dist

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48

Deszke, Klara-Dalma, and Liliana Duguleana. "COINTEGRATED-BASED FORECAST OF LONG-RUN RELATIONSHIPS." SERIES V - ECONOMIC SCIENCES 14(63), no. 1 (2021): 153–68. http://dx.doi.org/10.31926/but.es.2021.14.63.1.16.

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The Vector Error Correction Model (VECM) and the Autoregressive Distributed Lag Model (ARDL) are used to estimate the cointegration in the case of long-run relationship of quarterly GDP and Final Consumption in Romania during the period 1995 – 2019. The actual data of 2020 Q1 and Q2 were used to check the best model’s validity. The static and dynamic approaches of the ARDL model were used to forecast the Final Consumption for Q3 and Q4 of the year 2020. Applying the cointegration model shows the long term relationship of GDP and Final Consumption, but also the effects of other factors, seen in

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49

Jansson, Michael, and Niels Haldrup. "REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES." Econometric Theory 18, no. 6 (2002): 1309–35. http://dx.doi.org/10.1017/s0266466602186026.

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This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

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50

Lupekesa, Chipasha Salome Bwalya, Johannes Tshepiso Tsoku, and Lebotsa Daniel Metsileng. "Econometric Modelling of Financial Time Series." International Journal of Management, Entrepreneurship, Social Science and Humanities 5, no. 2 (2022): 52–70. http://dx.doi.org/10.31098/ijmesh.v5i2.622.

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This paper examines the relationship between assets, capital, liabilities and liquidity in South Africa using the Johansen cointegration analysis and the GARCH model using times data for the period 02/2005 to 06/2018. The results obtained from the study suggests that the time series are integrated of order one, I(1). The findings from the Johansen cointegration test indicated that the variables have a long run cointegrating relationship. Furthermore, the results from the GARCH model revealed that the estimated model has statistically significant coefficients at 5% significance level. Additiona

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