Results 81 to 90 of about 107,851 (292)
Instrumental Variable Interpretation of Cointegration with Inference Results for Fractional Cointegration [PDF]
, 2002 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.
Aparicio, Felipe M. +2 more
core +3 more sources
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of trade liberalisation on income inequality across 24 Sub‐Saharan African (SSA) countries from 2000 to 2020. Using IV‐Tobit and 2SLS models, we consistently find that greater trade openness significantly exacerbates inequality in the region. Critically, we document an inverted U‐shaped relationship between trade
Guivis Zeufack Nkemgha +2 more
wiley +1 more source
Cointegração e Descoberta de Preços de ADR Brasileiros [PDF]
RAC: Revista de Administração Contemporânea, 2009 This paper examines double-listing contribution for the price discovery of Brazilian stocks negotiated at the NYSE through ADRs. It examines whether the prices of stock/ADR pairs have their own common long term relation or, alternatively, whether the ...
Claudio Akira Kawamoto +1 more
doaj
Tests for cointegration in panels with regime shifts [PDF]
In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the alternative ...
Luciano Gutierrez
core
Impact of Sovereign Debt Maturity on Fiscal Sustainability
International Journal of Finance &Economics, EarlyView.ABSTRACT This study is the first to investigate the impact of the term structure of public debt on fiscal sustainability. We adopt the widely used backward‐looking measure of fiscal sustainability—fiscal responsiveness as proposed by Bohn. Using data from De Graeve and Mazzolini and focusing on a sample of 19 most developed countries, we demonstrate ...
António Afonso +3 more
wiley +1 more source
Quantile cointegrating regression [PDF]
Journal of Econometrics, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Bayesian inference in a cointegrating panel data model [PDF]
, 2008 This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation.
Koop, G.M. +2 more
core +2 more sources
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source
Paid Services to Population of the Russian Regions
Prostranstvennaâ ÈkonomikaThe objective of this research is to test the null hypothesis that there is no long-term, equilibrium relationship between the volume of paid services to regional population on the one hand and personal income and government financial assistance to ...
Boris Ivanovich Alekhin
doaj +1 more source
Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve [PDF]
We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...
Michael Dueker, Richard Startz
core