Results 211 to 220 of about 25,351,427 (247)

Panel Data Analysis (Stationarity, Cointegration, and Causality)

Environmental Kuznets Curve (EKC), 2019
This chapter summarizes both conventional and contemporary panel data estimation techniques (e.g., unit root tests, cointegration tests, causality tests, and long-run estimators) used in examining the environmental Kuznets curve (EKC) hypothesis ...
Lin-Sea Lau, Cheong-Fatt Ng, S. Cheah, C. Choong   +3 more
semanticscholar   +1 more source

Transportation and economic growth in China: A heterogeneous panel cointegration and causality analysis

Journal of Transport Geography, 2018
This study analyzes the cointegration and causal relationship between transportation and economic growth in the eastern, central and western regions of China using provincial data from 2000 to 2015.
Tingting Tong, T. Yu
semanticscholar   +1 more source

Cointegration analysis in the presence of outliers [PDF]

The Econometrics Journal, 2004
Summary: The effects of innovational outliers and additive outliers in cointegrated vector autoregressive models are examined and it is analyzed how outliers can be modelled with dummy variables. A Monte Carlo simulation illustrates that additive outliers are more distortionary than innovational outliers, and misspecified dummies may distort inference ...
openaire   +4 more sources

Irrelevant variables in cointegration analysis [PDF]

, 2003
We investigate analytically and via Monte Carlo simulations the effects of the inclusion of irrelevant variables in the statistical model, on the cointegration analysis of Johansen (1988, 1991). We show that overspecifying the statistical model does not affect inference about the cointegrating rank, as Johansen (1996, p. 42) suggests. Estimators of the
Pashourtidou, Nicoletta, O'Brien, Raymond   +1 more
openaire  

Semiparametric Frequency Domain Analysis of Fractional Cointegration

2003
Abstract Cointegration analysis has developed as a major theme of time series econometrics since the article of Engle and Granger (1987), much applied interest prompting considerable methodological and theoretical development during the past decade. Numerous empirical studies have investigated the possibility of cointegration in areas of
D Marinucci, Peter M. Robinson
openaire   +2 more sources

A cointegration analysis of petroleum futures prices

Energy Economics, 1994
Abstract This paper presents evidence concerning the number of common stochastic trends in a system of three petroleum futures prices (crude oil, heating oil and unleaded gasoline) using daily data from 3 December 1984 to 30 April 1993. Johansen's maximum likelihood approach for estimating long-run relations in multivariate vector autoregressive ...
openaire   +1 more source

Outlier Detection in Cointegration Analysis

Journal of Business & Economic Statistics, 1998
Franses, Philip Hans, Lucas, A (André)
openaire   +3 more sources

An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis

, 1995
M Hashem Pesaran, Y. Shin, P. Boswijk, C. Granger, A. Holly, K. Im, B. McCabe, S. Satchell, Richard J. Smith, Ron P. Smith   +9 more
semanticscholar   +1 more source

Non parametric Fractional Cointegration Analysis [PDF]

, 2007
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary
Mauro Costantini, Roy Cerqueti
openaire  

Stationarity‐Based Approach for the Selection of Lag Length in Cointegration Analysis Used for Structural Damage Detection

Comput. Aided Civ. Infrastructure Eng., 2017
P. Dao, W. Staszewski, A. Klepka
semanticscholar   +1 more source