What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic [PDF]
We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks.
António Afonso, Christophe Rault
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Detecting long memory co-movements in macroeconomic time series [PDF]
Cointegration analysis tests for the existence of a significant long-run equilibrium among some economic variables. Standard econometric procedures to test for cointegration have proven unreliable when the long-run relation among the variables is ...
Gianluca Moretti
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AN ECONOMETRIC ANALYSIS OF THE EFFECTS OF AGGREGATE DEFENSE SPENDING ON AGGREGATE OUTPUT: THE CASE OF TURKEY, 1950-2002 [PDF]
This study utilizes the new macroeconomic theory and multivariate cointegration analysis in search of the effects of aggregate defense spending on aggregate output in Turkey. This study provides the empirical evidence that there is a strong positive long-
Halicioglu Ferda
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Unravelling the nexus between energy prices and exchange rate in Malaysia: Fresh insights from a non-linear perspective using threshold cointegration analysis. [PDF]
HeliyonButt S +4 more
europepmc +1 more source
HOW STABLE IS THE DEMAND FOR MONEY IN CHINA? [PDF]
Different authors have tried to estimate the demand for money in different countries. A common theme of almost all studies since 1987 is the application of cointegration technique.
Mohsen Bahmani-Oskooee, Yongqing Wang
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Long-term benefits from investing in international real estate [PDF]
This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis.
Schindler, Felix
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A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION [PDF]
This paper re-examines the Cagan model of German hyperinflation during the 1920s under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recently developed I(
Dimitris Georgoutsos, George Kouretas
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Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange [PDF]
This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a ...
Ceylan Onay, Gözde Ünal
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Causality and cointegration analysis between macroeconomic variables and the Bovespa. [PDF]
PLoS One, 2014 da Silva FM, Coronel DA, Vieira KM.
europepmc +1 more source
Investigating time series properties of a dynamic system for Japan's import demand [PDF]
This note aims to investigate time series properties of a dynamic system for Japan's aggregate import demand. A multivariate cointegration analysis of Japanese data reveals a stable economic linkage interpretable as a long-run import demand function.
Takamitsu Kurita
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