Results 21 to 30 of about 107,851 (292)
Asymmetric Price Transmission: A Case of Wheat in India
Agriculture, 2022 In the present paper, horizontal and vertical integration was carried out on the wholesale and retail prices of wheat in the major markets of India. On confirming cointegration between the wholesale and retail prices of wheat in all needs, the vector ...
Ranjit Kumar Paul, Tanmoy Karak
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Some effects of lagged relationship on the cointegration inferences in small samples
Lietuvos Matematikos Rinkinys, 2004 A Monte Carlo simulation is performed in order to investigate the effects of lagged relationship on the cointegration inference in a single equation. Given a small data sample the standard application of Engle–Granger cointegration testing procedure is
Virmantas Kvedaras
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Complexity, 2022 According to the definition of nonlinear cointegration, this article studies the small sample nonlinear cointegration test and NECM (Nonlinear Error Correction Model) based on the LS-SVM (Least Squares Support Vector Machine) optimized by PSO (Particle ...
Jungang Du
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UNBALANCED COINTEGRATION [PDF]
Econometric Theory, 2006 Summary: Recently, increasing interest in the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposed to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders of integration of these series are allowed to take real values, but, as in the traditional ...
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model [PDF]
SSRN Electronic Journal, 2018 We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment ...
Johansen, Søren +1 more
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Econometrics, 2019 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.
David H. Bernstein, Bent Nielsen
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Does inflation reduce remittance outflows in Saudi Arabia?
Cogent Economics & Finance, 2022 This study examines the potential relationship between inflation and remittance outflows in Saudi Arabia over the period 1971–2019 by applying the autoregressive distributed lag (ARDL) model.
Bashier Al-Abdulrazag, Musa Foudeh
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The Interrelation between Stock Prices and the Exchange Rate in Kazakhstan
Экономика: стратегия и практика, 2022 A strong economical link has arisen between stock markets and exchange rates as a consequence of increased capital flows between international financial markets.
G. Zh. Azretbergenova
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A note on the power of panel conitegration tests - An application to health care expenditure and GDP [PDF]
, 2016 This paper enlarges on Gutierrez's (2003) results on the power of panel cointegration tests. By a comparison of power of panel cointegration tests, we show how the choice of most powerful test depends on the values ...
MARINI, GIORGIA
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Sacrifice rate and labor precariousness in Mexico, 2005Q1-2019Q4
Cuadernos de Economía, 2022 Since 1998, the Mexican economy has clearly presented six disinflationary episodes. We estimate seven Phillips curves, to evaluate the social cost in terms of the sacrifice rate in GDP, unemployment rate and in the Rate of Critical Labor Conditions ...
Eduardo Loría, Raúl Cossio
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