Inappropriate Detrending and Spurious Cointegration [PDF]
The empirical literature is abundant with detrended cointegration, where cointegration relationships are tested and estimated with deterministic trend terms. Cointegration is, however, critically dependent on whether time series is detrended or not.
Heejoon Kang
core
Stock Price Deviations From Fundamentals Levels: Mis‐Valuation due to Investor Overconfidence?
International Journal of Finance &Economics, EarlyView.ABSTRACT We use the Residual Income Valuation Model to obtain fundamental values for sample stocks in six Eurozone markets. We then estimate the deviation between the fundamental values and actual stock prices. Subsequently, we examine whether these deviations can be systematically explained by business cycle trends, trends in local economic sentiment,
Stella N. Spilioti +1 more
wiley +1 more source
A panel cointegration analysis of linkages between international trade and tourism: case of India and South Asian Association for Regional Cooperation (SAARC) countries. [PDF]
Qual Quant, 2023 Azmi SN, Khan T, Azmi W, Azhar N.
europepmc +1 more source
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
Inflation and price discovery in advanced economies
Journal of Applied EconomicsWhile the recent global inflation appears to be under control, significant uncertainty remains surrounding the future potential of disinflationary trends and the renewal of inflationary pressure.
Hany Guirguis +2 more
doaj +1 more source
The effects of environmental tax on Ecological Footprint and Carbon dioxide emissions: a nonlinear cointegration analysis on Turkey. [PDF]
Environ Sci Pollut Res Int, 2022 Telatar OM, Birinci N.
europepmc +1 more source
Bayesian Model Selection in the Analysis of Cointegration [PDF]
In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior
Justyna Wróblewska
core
Fiscal Policy Regimes in Resource‐Rich Economies
Journal of Applied Econometrics, EarlyView.ABSTRACT We analyse fiscal policy in resource‐rich economies using a novel Bayesian regime‐switching panel model. The identified regimes capture pro‐ or countercyclical fiscal behaviour by allowing regime‐specific shifts in the average fiscal stance, while the switches between the regimes have the interpretation of changes in fiscal policy.
Hilde C. Bjørnland +3 more
wiley +1 more source
Combined Use of Cointegration Analysis and Robust Outlier Statistics to Improve Damage Detection in Real-World Structures. [PDF]
Sensors (Basel), 2022 Turrisi S, Zappa E, Cigada A.
europepmc +1 more source
MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3) [PDF]
In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a money demand vector in the cointegrating space as a priori hypothesized through ...
H. LEVENT KORAP
core