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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 (December 31, 2014): 359–94. http://dx.doi.org/10.53383/100189.
Testo completoAbstract (sommario):
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 inflation significantly and negatively influences the cointegrative disequilibrium. Lastly, our cointegration-based portfolio performance analyses show that the inferior performance of the all-sector market portfolio stems from containing the redundant cointegrated sectors which shatter portfolio diversification.
2
COOK, STEVEN. "ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005." Annals of Financial Economics 02, no. 01 (June 2006): 0650003. http://dx.doi.org/10.1142/s2010495206500035.
Testo completoAbstract (sommario):
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 asymmetric cointegration. However, despite considering a range of tests, no evidence of cointegration is detected. The results therefore do not support the predictions of financial and economic theory.
3
Bernstein, David, and Bent Nielsen. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient." Econometrics 7, no. 1 (January 18, 2019): 6. http://dx.doi.org/10.3390/econometrics7010006.
Testo completoAbstract (sommario):
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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Aue, Alexander, Lajos Horváth, Clifford Hurvich, and Philippe Soulier. "LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS." Econometric Theory 30, no. 3 (November 18, 2013): 536–79. http://dx.doi.org/10.1017/s0266466613000406.
Testo completoAbstract (sommario):
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 on data sampled from an equally spaced discretization of calendar time, and we justify a feasible method of hypothesis testing for the cointegrating parameter based on the correspondingt-statistic. In the strong fractional cointegration case, we obtain the limiting distribution of a continuously averaged tapered estimator as well as other estimators of the cointegrating parameter, and we find that the rate of convergence can be affected by properties of intertrade durations. In particular, the persistence of durations (hence of volatility) can affect the degree of cointegration. We also obtain the rate of convergence of several estimators of the cointegrating parameter in the standard cointegration case. Finally, we consider the properties of the ordinary least squares estimator of the regression parameter in a spurious regression, i.e., in the absence of cointegration.
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Kim, Soohyeon, and Surim Oh. "Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price." Energies 13, no. 17 (August 31, 2020): 4479. http://dx.doi.org/10.3390/en13174479.
Testo completoAbstract (sommario):
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, for the long- and short-run dynamics, this study established and estimated an error correction model (ECM), with controlling, time-varying cointegrations. This study develops econometric studies by applying time-varying cointegration to nonenergy uses of fossil fuels. Thereby, our results discover that the feedstock structure of US ethylene is moving from crude oil to natural gas and that the comovement of US and Japanese prices is getting intensified.
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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 (February 9, 2017): 49. http://dx.doi.org/10.5539/ijef.v9n3p49.
Testo completoAbstract (sommario):
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 shifts that are corresponding to high inflation regime. In high inflation regime, variance is much higher for both the long and short rates and adjustment toward equilibrium is much faster than those in the other regime.
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Shin, Yongcheol. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration." Econometric Theory 10, no. 1 (March 1994): 91–115. http://dx.doi.org/10.1017/s0266466600008240.
Testo completoAbstract (sommario):
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-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period.
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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 (June 2011): 255–77. http://dx.doi.org/10.1142/s0217590811004250.
Testo completoAbstract (sommario):
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 cointegrated over the entire period is Korea where there is a weak long-run unidirectional Granger causality running from exchange rates to stock prices. Employing the panel LM cointegration test with multiple structural breaks, we find that exchange rates and stock prices are not cointegrated. We conclude that for the eight Asian countries, exchange rates and stock prices primarily have only a contemporaneous effect on each other that is reflected in the short-run intertemporal comovements between these financial variables.
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Dao, Phong B. "On Cointegration Analysis for Condition Monitoring and Fault Detection of Wind Turbines Using SCADA Data." Energies 16, no. 5 (March 1, 2023): 2352. http://dx.doi.org/10.3390/en16052352.
Testo completoAbstract (sommario):
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 established using five process parameters, including the wind speed, generator speed, generator temperature, gearbox temperature, and generated power. Two different sets of SCADA data were used to train the cointegration-based model and calculate the normalized cointegrating vectors. The first training data set involves 12,000 samples recorded before the occurrence of the gearbox fault, whereas the second one includes 6000 samples acquired after the fault occurrence. Cointegration residuals—obtained from projecting the testing data (2000 samples including the gearbox fault event) on the normalized cointegrating vectors—are used in control charts for operational state monitoring and automated fault detection. The results demonstrate that regardless of which training data set was used, the cointegration residuals can effectively monitor the wind turbine and reliably detect the fault at the early stage. Interestingly, despite using different training data sets, the cointegration analysis creates two residuals which are almost identical in their shapes and trends. In addition, the gearbox fault can be detected by these two residuals at the same moment. These interesting findings have never been reported in the literature.
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Bierens, Herman J., and Luis F. Martins. "TIME-VARYING COINTEGRATION." Econometric Theory 26, no. 5 (March 5, 2010): 1453–90. http://dx.doi.org/10.1017/s0266466609990648.
Testo completoAbstract (sommario):
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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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.
Testo completoAbstract (sommario):
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 retail investors, portfolio managers, and policymakers.
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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.
Testo completoAbstract (sommario):
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 resulting residuals between the actual and the fitted values of exchange rate are the estimated misalignments. From cointegration, our results suggest that the Malaysian ringgit was overvalued from 1995Q2-1997Q2. Based on VECM, our results suggest that ringgit was overvalued from 1995Q2-1996Q2 and slightly undervalued from 1996Q3-1997Q2.
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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 (September 10, 2024): 527. http://dx.doi.org/10.3390/fractalfract8090527.
Testo completoAbstract (sommario):
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 cointegrating vectors and fractional cointegration parameters across observational units. The behavior of our proposed test is examined through extensive Monte Carlo experiments under various data-generating processes and circumstances. The findings reveal that our modified test performs quite well comparatively and can successfully identify fractional cointegrating relationships in panels, even in the presence of idiosyncratic disturbances unique to each cross-sectional unit. Furthermore, the proposed modified test procedure established the presence of long-run equilibrium between the exchange rate and labor wage of 36 countries’ agricultural markets.
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.
Testo completoAbstract (sommario):
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 cointegration testing method is a power full means for condition monitoring for nonstationary engineering systems.
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Duguleana, Constantin. "COINTEGRATING THE LONG-RUN RELATIONSHIP OF ECONOMIC VARIABLES." SERIES V - ECONOMIC SCIENCES 14(63), no. 1 (June 30, 2021): 139–52. http://dx.doi.org/10.31926/but.es.2021.14.63.1.15.
Testo completoAbstract (sommario):
"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 consists in knowing the effect of GDP in the long term. "
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Xiao, Zhijie, and Peter C. B. Phillips. "EFFICIENT DETRENDING IN COINTEGRATING REGRESSION." Econometric Theory 15, no. 4 (August 1999): 519–48. http://dx.doi.org/10.1017/s0266466699154033.
Testo completoAbstract (sommario):
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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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 (February 9, 2015): 81–103. http://dx.doi.org/10.1108/raf-09-2013-0103.
Testo completoAbstract (sommario):
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 relationship between stock prices, dividends, output and consumption, although not necessarily linked by a single common stochastic trend; each series responds to disequilibrium with greater evidence of a reaction from dividends and consumption – of note, output responds to changes in stock market equilibrium; and there is forecast power from the joint stock market–macro cointegrating vector for stocks returns and consumption growth over the historical average. Of particular note, other forecast models that include consumption perform well and suggest a key role for this variable in stock return and consumption growth forecasts. Originality/value – This is the first paper to combine the cointegrating relationships between stocks, dividends, output and consumption. Thus, the empirical validity of stated theoretical hypotheses can be analysed. The forecast results also demonstrate the usefulness of this. They also show that forecast models that include consumption perform well and suggest a key role for this variable in stock return and consumption growth forecasts.
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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 (December 1997): 850–76. http://dx.doi.org/10.1017/s0266466600006290.
Testo completoAbstract (sommario):
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 study the finite sample performance of the CCR estimates and the cointegration tests are also reported.
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Zivot, Eric. "THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED." Econometric Theory 16, no. 3 (June 2000): 407–39. http://dx.doi.org/10.1017/s0266466600163054.
Testo completoAbstract (sommario):
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 interval. I show analytically, using asymptotic power functions based on near-cointegrated alternatives, that the ECM t-test with a prespecified cointegrating vector can have much higher power than single equation tests for cointegration based on estimating the cointegrating vector. I also characterize situations in which the ECM t-test computed with a misspecified cointegrating vector will have high power.
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Paruolo, Paolo. "LR cointegration tests when some cointegrating relations are known." Statistical Methods & Applications 10, no. 1-3 (January 2001): 123–37. http://dx.doi.org/10.1007/bf02511644.
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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 (January 1, 2003): 29–48. http://dx.doi.org/10.1155/s1173912603000038.
Testo completoAbstract (sommario):
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 studies an alternative method for determining cointegrating relationships without such a pre-condition. The method is simple to implement through commonly available statistical packages. This ‘residual-based cointegration’ (RBC) technique uses the relationship between cointegration and univariate Box-Jenkins ARIMA models to identify cointegrating vectors through the rank of the covariance matrix of the residual processes which result from the fitting of univariate ARIMA models. The RBC approach for identifying multivariate cointegrating vectors is explained and then demonstrated through simulated examples. The RBC and Johansen techniques are then both implemented using several real-life financial time series.
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Shehu, Maimuna M., and Ibrahim M. Adamu. "Determinants of Budget Deficit in Nigeria." Journal of International Business, Economics and Entrepreneurship 6, no. 1 (June 21, 2021): 1. http://dx.doi.org/10.24191/jibe.v6i1.14199.
Testo completoAbstract (sommario):
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 surplus, the government should determine a high level of accountability in its fiscal operations. In addition, any fiscal surplus should be channeled into productive investments to diversify the economy and reduce the likelihood of potential budget deficits.
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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.
Testo completoAbstract (sommario):
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 cointegrating residuals. These two approaches are tested on undamaged and damaged aluminium plates exposed to temperature variations. The experimental results show that the method can isolate damage-sensitive features from the temperature effect and reliably detect damage.
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Hwan Seo, Myung. "ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS." Econometric Theory 27, no. 2 (August 27, 2010): 201–34. http://dx.doi.org/10.1017/s026646661000023x.
Testo completoAbstract (sommario):
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 cointegration, which aren3/2andnforβandγ, respectively, whereγdenotes the threshold parameter. This fast rate forβin itself is of practical relevance because, unlike in smooth transition models, the estimation error inβdoes not affect the estimation of short-run parameters. We also derive asymptotic distributions for the smoothed least squares estimation of threshold cointegration.
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Iorngurum, Tersoo. "Gauging the Effects of Modern Payment Technologies Adoption on the Demand for Money in Nigeria." Economic Analysis 52, no. 2 (December 9, 2019): 12–27. http://dx.doi.org/10.28934/ea.19.52.2.pp12-27.
Testo completoAbstract (sommario):
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) techniques, while the Gregory-Hansen cointegration method is employed to test for structural breaks and regime shifts. Subsequently, empirical results from the Johansen cointegration test and the normalized cointegrating coefficients of the estimated vector error correction model (VECM) reveal that real currency in the hands of the Nigerian public is positively cointegrated with real modern payment technologies transactions as well as real Gross Domestic Product (GDP), but negatively cointegrated with real savings interest rates, real quarterly time deposits interest rates, and inflation rate. On the other hand, empirical results from the Gregory-Hansen cointegration method indicate further that there are no structural breaks or regime shifts in the cointegrating coefficients during the period 2009:Q1 to 2017:Q4. In conclusion, the existence of a positive relationship between real modern payment technologies transactions and real currency in the hands of the Nigerian public implies that the former are partly responsible for the growth of the latter, thereby indicating that modern payment technologies are effective in promoting financial inclusion by providing access to liquidity services. Based on this finding the study recommends that the adoption of modern payment technologies should be promoted in order to further extend liquidity services to financially excluded Nigerians.
 This article has been corrected. Link to the correction https://doi.org/10.28934/ea.20.53.1.pp187
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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 (September 30, 2006): 103–10. http://dx.doi.org/10.3846/16111699.2006.9636130.
Testo completoAbstract (sommario):
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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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 (October 15, 2021): 255–65. http://dx.doi.org/10.1515/snde-2018-0120.
Testo completoAbstract (sommario):
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 framework than the traditional seasonal adjustment methodologies, allowing for identification of hidden cointegrating relationships. Moreover, we confirm these results using seasonally adjusted time series as US consumption and income, gross national product (GNP) and money supply M1 and GNP and M2.
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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.
Testo completoAbstract (sommario):
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 checking stationarity, the extended Dickey-Fuller test, the Granger test for the detection of causality, determining the cointegration dependence using the Johansen’s test, a Vector Error Correction Model (VECM) has been built. First, a basic modified model of gravity has been built, and the statistical adequacy of this model has been checked. A comparative analysis of two regression models was carried out after the inclusion of the trend component in one of them. The dynamic structure of regression residuals was studied and the test for heteroscedasticity and autocorrelation was carried out. It is shown that the most suitable specification for cointegration is the quadratic trend in the initial levels with a linear trend in cointegration relationships, which has led to the emergence of two cointegration vectors. As a result of the completed analysis, two cointegration relationships are obtained. The results of the impulse response functions, decomposition of dispersions and the VECM model in the form of combinations of two cointegrating vectors with the expected signs of the adjustment integers showed that the economic indicators used in the analysis for the specified period maintain cointegration in the long term with the not stable equilibrium joint movements of the factors under study.
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BAILLIE, RICHARD T., and TIM BOLLERSLEV. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics." Journal of Finance 49, no. 2 (June 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 (July 16, 2021): 55. http://dx.doi.org/10.3390/engproc2021005055.
Testo completoAbstract (sommario):
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 evolves that statistical evidence on cointegration is not equivalent to better forecasting properties by the implied cointegrating structure.
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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 (December 2009): 1829–50. http://dx.doi.org/10.1017/s026646660999034x.
Testo completoAbstract (sommario):
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) (October 30, 2015): 79–90. http://dx.doi.org/10.22610/jebs.v7i5(j).608.
Testo completoAbstract (sommario):
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 1994. The GH cointegration equations reject M1 whilst M2 and M3 pass and we proceed to estimate the error-correction model. Complemented by the CUSUM and CUSUM of squares, the tests carried out suggest that monetary policy shifts did not introduce instability.
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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 (March 25, 2023): 204–16. http://dx.doi.org/10.20525/ijrbs.v12i2.2280.
Testo completoAbstract (sommario):
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) approach proposed by Granger(1988) and short-run analysis is made using the pairwise granger causality tests. Findings show that the correct model specification for testing long-run relationships consists of one cointegrating vector with a constant which is the most restrictive hypothesis according to the Pantula principle. Using the Johansen approach, total health expenditure and recurring health expenditure have a cointegration relationship with growth while development health expenditure and growth are not cointegrated. The ECM and the approach by EG confirm a weak and/or no cointegration between the variables. Growth has no effect on government expenditure on health in the short run, but a cointegration relationship suggests that it may marginally contribute to an increase in health expenditure over the long term. The study clarifies the correct model to test for cointegration and specification for the deterministic component. It confirms the existence of a healthcare expenditure-led growth hypothesis. This requires Botswana to design a policy that targets specific parts of recurrent and development health expenditure to support human capital development and influence future growth.
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Barigozzi, Matteo, Marco Lippi, and Matteo Luciani. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors." Econometrics 8, no. 1 (February 4, 2020): 3. http://dx.doi.org/10.3390/econometrics8010003.
Testo completoAbstract (sommario):
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 ) singular vectors under the assumption that y t has rational spectral density; (ii) using recent results on singular vectors by Anderson and Deistler, we prove that for generic values of the parameters the autoregressive representation of y t has a finite-degree polynomial. The relationship between the cointegration of the factors and the cointegration of the observable variables in a large-dimensional factor model is also discussed.
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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 (January 12, 2018): 226–36. http://dx.doi.org/10.18844/prosoc.v4i10.3081.
Testo completoAbstract (sommario):
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, it is found that at a significance level of 0.05, a cointegration relationship between M3 and CPI in the Czech Republic does not exist. Conclusions resulting from the verification of the hypotheses are supported with graphical visualisation of data from which it is apparent that these hypotheses can be rejected. Keywords: M3; Czech Republic ; CPI ; Akaike criteria
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Triki, Mohamed Bilel, and Samir Maktouf. "Purchasing power parity as a long-term memory process." International Journal of Emerging Markets 10, no. 4 (September 21, 2015): 711–25. http://dx.doi.org/10.1108/ijoem-02-2012-0021.
Testo completoAbstract (sommario):
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 floating exchange rate period but that the deviations from it did not follow a stationary process. Nevertheless, it is also found that the deviations from PPP exists and can be characterized by a fractionally integrated process in nine out of 13 countries studied. Originality/value – The findings are consistent with the consensus of the empirical literature, reviewed earlier in this paper, on PPP between Argentine, Brazil, Chile, Colombia, Indonesia, Korea, Mexico, Thailand and Venezuela and the USA.
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Chang, Yoosoon, and Peter C. B. Phillips. "Time Series Regression with Mixtures of Integrated Processes." Econometric Theory 11, no. 5 (October 1995): 1033–94. http://dx.doi.org/10.1017/s0266466600009968.
Testo completoAbstract (sommario):
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 least squares (FM-OLS) is applicable to models (including vector autoregressions) with some unit roots and unknown cointegrating rank. This paper extends these results to models that contain some I(0), I(1), and I(2) regressors. The theory and methods here are applicable to cointegrating regressions that include unknown numbers of I(0), I(1), and I(2) variables and an unknown degree of cointegration. Such models require a somewhat different approach than that of Phillips (1995). The paper proposes a residual-based fully modified ordinary least-squares (RBFMOLS) procedure, which employs residuals from a first-order autoregression of the first differences of the entire regressor set in the construction of the FMOLS estimator. The asymptotic theory for the RBFM-OLS estimator is developed and is shown to be normal for all the stationary coefficients and mixed normal for all the nonstationary coefficients. Under Gaussian assumptions, estimation of the cointegration space by RBFM-OLS is optimal even though the dimension of the space is unknown.
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Kasparis, Ioannis. "DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS." Econometric Theory 24, no. 5 (July 9, 2008): 1373–403. http://dx.doi.org/10.1017/s0266466608080547.
Testo completoAbstract (sommario):
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. However, the Dickey–Fuller test performs poorly under functional form misspecification.
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Mladenovic, Zorica. "Prakticni problemi kointegracione analize." Ekonomski anali 43, no. 155 (2002): 35–57. http://dx.doi.org/10.2298/eka0205035m.
Testo completoAbstract (sommario):
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 understanding makes computer software a reliable source. The purpose of this paper is to popularize (correct) application of cointegration methods. .
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Triacca, Umberto. "COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS." Econometric Theory 16, no. 1 (February 2000): 102–11. http://dx.doi.org/10.1017/s0266466600161055.
Testo completoAbstract (sommario):
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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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 (June 8, 2017): 1–20. http://dx.doi.org/10.21078/jssi-2017-001-20.
Testo completoAbstract (sommario):
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 tests. The results of multivariate cointegration test (trace test) indicate a one cointegrating vector, and the significant normalized cointegrating coefficients are evident of long run equilibrium relationship between all the selected variables. Negative and significant ECT (− 1) for all variables during full sample period witness the presence of long-run causality connection among variables, while during the military regime and democratic regime, significant difference of long-run causal connections are identified across the regimes. Moreover, the results of granger causality test also indicate that there are significant variations in the causality relationship among variables across the regimes. Therefore, it is essential for forecasting, planning and policy making to consider the importance of political governance system while analyzing the historical cointegration among financial market and make the necessary adjustments accordingly.
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Blake, Nathan S., and Thomas B. Fomby. "Threshold Cointegration." International Economic Review 38, no. 3 (August 1997): 627. http://dx.doi.org/10.2307/2527284.
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Hansen, Bruce E. "Heteroskedastic cointegration." Journal of Econometrics 54, no. 1-3 (October 1992): 139–58. http://dx.doi.org/10.1016/0304-4076(92)90103-x.
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Osborn, Denise R. "Seasonal cointegration." Journal of Econometrics 55, no. 1-2 (January 1993): 299–303. http://dx.doi.org/10.1016/0304-4076(93)90017-y.
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Lee, Hahn Shik. "Maximum likelihood inference on cointegration and seasonal cointegration." Journal of Econometrics 54, no. 1-3 (October 1992): 1–47. http://dx.doi.org/10.1016/0304-4076(92)90098-c.
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Marmol, Francesc, Alvaro Escribano, and Felipe M. Aparicio. "INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION." Econometric Theory 18, no. 3 (May 15, 2002): 646–72. http://dx.doi.org/10.1017/s0266466602183046.
Testo completoAbstract (sommario):
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 distribution. We also show that, in the I(1) case, with a semiparametric correction simpler than the one required for the fully modified ordinary least squares (FM-OLS), our fully modified instrumental variables (FM-IV) estimator is median-unbiased, a mixture of normals, and asymptotically efficient. As a consequence, standard inference can be conducted with this new FM-IV estimator of the cointegrating parameter. We show by the use of Monte Carlo simulations that the small sample gains with the new IV estimator over OLS are remarkable.
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Deszke, Klara-Dalma, and Liliana Duguleana. "COINTEGRATED-BASED FORECAST OF LONG-RUN RELATIONSHIPS." SERIES V - ECONOMIC SCIENCES 14(63), no. 1 (June 30, 2021): 153–68. http://dx.doi.org/10.31926/but.es.2021.14.63.1.16.
Testo completoAbstract (sommario):
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 the differences of Final Consumption from its Long-Run evolution, and comprised in the cointegrating terms.
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Jansson, Michael, and Niels Haldrup. "REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES." Econometric Theory 18, no. 6 (September 24, 2002): 1309–35. http://dx.doi.org/10.1017/s0266466602186026.
Testo completoAbstract (sommario):
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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Kumar Soni, Tarun. "Cointegration, linear and nonlinear causality." Journal of Agribusiness in Developing and Emerging Economies 4, no. 2 (November 11, 2014): 157–71. http://dx.doi.org/10.1108/jadee-07-2012-0019.
Testo completoAbstract (sommario):
Purpose – The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd. Design/methodology/approach – To analyse the efficiency of futures market in Indian scenario, we focus on maize, chickpea, soybean and wheat which are among the most important agricultural commodities traded in India. In the first step, Augmented Dickey-Fuller test and nonparametric Phillips-Perron approaches have been used to examine the stationarity of all futures and spot price series. After testing the presence of cointegration in futures and spot series using Johansen’s Cointegration approach, the joint restrictions of β 0=0, β 1=1 and β 1=1 on the cointegrating vectors were imposed to test whether the futures price is an unbiased predictor of spot at contract maturity. In the next step, linear Toda and Yamamoto (1995) and the nonparametric Diks and Panchenko (2006) causality tests were applied to examine the direction of causality. Finally, nonlinear test were applied on the vector error correction model (VECM) residuals to investigate whether any remaining causality is strictly nonlinear in nature. Findings – The results of cointegration tests between futures and spot prices of the selected agricultural commodities indicated a long term relationship do exist in three out of four futures contracts. However, the Wald tests results on the cointegrating vectors indicate markets as inefficient and biased. Further, analysis of short-term relationship using alternate tests of causality do not give consistent results for same commodity series indicating that results may vary due to alternate measures and specifications. Finally, if we consider the results of Diks-Panchenko test on the filtered VECM-residuals, results provide evidence that if cointegration is taken into account; neither spot nor future leads or lags the other consistently. Research limitations/implications – The results are based on the sample of four agricultural futures commodity contracts. The study can be extended to a larger sample of contracts and relative efficiency of each contract can be explored. Originality/value – There are very few studies that have explored the efficiency, unbiasedness and direction of causality using both linear and nonlinear techniques for Indian agriculture commodity futures market for different forecasting horizons.
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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 (December 30, 2022): 52–70. http://dx.doi.org/10.31098/ijmesh.v5i2.622.
Testo completoAbstract (sommario):
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. Additionally, results revealed that assets have a positive relationship with capital, liabilities and liquidity. This implies that a percentage increase in assets will result to a percentage increase in capital, liabilities and liquidity. The results also revealed that shocks decay quickly in the future and that the conditional variance is explosive. The diagnostic tests revealed that the estimated models show the characteristics of a well specified model. The recommendations for future studies were formulated. Keywords: ARCH model; Cointegration; Financial time series; GARCH model; VECM; Volatility