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A cointegration analysis of dynamic externalities
Japan and the World Economy, 2010Abstract This paper presents a cointegration analysis on the effects of dynamic externalities upon economic growth using time-series data from 1975 to 2003 on the one-digit industries of the Tokyo metropolitan area in Japan. Some new time-series econometric methods that have been recently developed to conduct unit root and cointegration tests are ...
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Dimensionality Effect in Cointegration Analysis
1999Abstract During the past decade a considerable amount of research has focused on the issue of stochastic trends in economic variables and subsequently on whether such trends are common to some or all of the variables in question, a phenomenon known as cointegration (Granger, 1981; Engle and Granger, 1987).
Jesús Gonzalo, Jean-Yves Pitarakis
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Outlier Detection in Cointegration Analysis
Journal of Business & Economic Statistics, 1998Franses, Philip Hans, Lucas, A (André)
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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 +1 more
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Recent Advances in Cointegration Analysis
2004Abstract A small system of German economic variables consisting of the money stock M3, Gross National Product (GNP) and a bond rate is used to illustrate the power of cointegration analysis and the usefulness of some recently developed tools for this kind of analysis.
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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