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A Cointegration Analysis of Wool Prices
2000Based on cointegration analysis and monthly data from 1976.8 to 1999.10, a long-run equilibrium relationship was found to exist between prices for wools of 19 to 23 microns, despite the wool Reserve Price Scheme operated until February 1991. Furthermore, the prices for 19, 20 and 21 micron wools were found to be weakly exogenous.
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Omitted variables in cointegration analysis [PDF]
, 2003 This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991). We show that underspecification of the statistical model leads to either failure in detecting cointegration or underestimation of the cointegrating rank.
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Fragmentation of production: a cointegration analysis
2012In the last two decades the majority of papers dealing with international fragmentation of production developed around the gravity models. As such, trade flows in parts, components and final products are employed together with a set of macroeconomic variables of partner countries to get the most accurate picture of bilateral relations.
GIANSOLDATI M., PIZZI C.
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Cointegration tests with conditional heteroskedasticity
Journal of Econometrics, 1996Tae-Hwy Lee, Yiuman Tse
exaly
A Fractional Cointegration Analysis of Purchasing Power Parity
Journal of Business and Economic Statistics, 1993Yin-Wong Cheung, Kon S Lai
exaly
On stationarity and cointegration of international health expenditure and GDP
Journal of Health Economics, 2000Ulf-Göran Gerdtham +2 more
exaly