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Explaining Cointegration Analysis: Part 1 [PDF]
The Energy Journal, 2000 'Classical' econometric theory assumes that observed data come from a stationary process, where means and variances are constant over time. Graphs of economic time series, and the historical record of economic forecasting, reveal the invalidity of such an assumption.
Hendry, D, Juselius, K
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Identification of the Equilibrium Exchange Rate Pass-Through Effect in Cointegrated VAR with an Application to the Euro area [PDF]
Economic and Business Review, 2017 The exchange rate pass-through is of considerable importance for policy makers in open economies. Based on work of Johansen (2002) this paper develops the conditions for the identification of equilibrium pass-througheffect in cointegration framework.
Igor Masten
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Innovation indicators in the context of narrative economics
Journal of New Economy, 2022 The analysis of innovation systems is a demanding task, which needs to be tackled comprehensively. Their modelling provides an indication of the formal innovative performance while the narrative analysis helps to examine relevant judgments about the ...
Vyacheslav V. Volchik +2 more
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Similarity Issues in Cointegration Analysis
Oxford Bulletin of Economics and Statistics, 2000 Usually cointegration models involve a dynamic, stochastic component as well as deterministic components. This paper identifies relevant cointegration models in terms of interpretability and similarity with respect to parameters of deterministic components.
Rahbek, Anders, Nielsen, Bent
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Land, 2019 Based on cointegration analysis, a vector error correction model (VECM), and the impulse response function method, this paper empirically analyses the interaction among urban expansion, economic development, and population growth in China from 1980 to ...
Yanwei Zhang, Hualin Xie
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A Cointegration Analysis of Treasury Bill Yields [PDF]
The Review of Economics and Statistics, 1992 This paper shows that yields to maturity of U.S. Treasury bills are cointegrated and that, during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors. This cointegrating relationship implies that a single nonstationary common factor underlies
Hall, Anthony D +2 more
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Effect of Food Exports on Economic Growth: Fresh Insights from Italy
JDE (Journal of Developing Economies)This paper aims to explore the relationship between food exports and economic growth in Italy. To achieve this objective, we utilize annual data spanning from 1990 to 2021, employing cointegration analysis and the ARDL Model.
Abdelhafidh Othmani +2 more
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Feedback to the ECB’s Monetary Analysis: The Bank of Russia’s Experience with Some Key Tools
Journal of Banking and Financial Economics, 2014 The paper investigates to what extent some basic tools of the ECBs monetary analysis can be useful for other central banks given their specific institutional, economic and financial environment.
Alexey Ponomarenko +2 more
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How Does Oil Future Price Imply Bunker Price—Cointegration and Prediction Analysis
Energies, 2022 This paper investigates how oil’s future price implies the bunker price through cointegration analysis first. A cointegration test confirms the long-run equilibrium condition of bunker and oil future prices.
Yanhui Chen, Jinrong Lu, Mengmeng Ma
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Cointegration Analysis with Mixed-Frequency Data [PDF]
SSRN Electronic Journal, 2007 We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model.
Byeongchan Seong +2 more
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