Results 11 to 20 of about 15,639,744 (351)
Comparison of Panel Cointegration Tests [PDF]
Economics Bulletin, 2007 The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR ...
Deniz Dilan Karaman Örsal
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The Relationship between Financial Development, Trade Openness and Economic Growth in Turkey: Evidence from Fourier Tests [PDF]
Statistika: Statistics and Economy Journal, 2022 In this study, the effects of financial development and trade openness on economic growth were investigated using annual data for Turkey over the period 1960–2017.
Havanur Ergün Tatar +2 more
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Garch effects on a test of cointegration [PDF]
Review of Quantitative Finance and Accounting, 1994 This article discusses the effects of GARCH type error processes on the use of the Engle and Granger cointegration test for two variables. Simulation results indicate that (nearly) integrated GARCH processes, as well as GARCH processes that are not covariance stationary, change the critical values.
Franses, Philip Hans +2 more
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Consistent Testing of Cointegrating Relationships [PDF]
Econometrica, 2004 In this paper we investigate methods for testing the existence of a cointegration relationship among the components of a nonstationary fractionally integrated (NFI) vector time series. Our framework generalizes previous studies restricted to unit root integrated processes and permits simultaneous analysis of spurious and cointegrated NFI vectors.
Francesc, Marmol, Velasco, Carlos
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Error-Correction–Based Cointegration Tests for Panel Data
The Stata Journal, 2008 Damiaan Persyn, Joakim Westerlund
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Econometrics, 2019 We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference.
David H. Bernstein, Bent Nielsen
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Wagner’s hypothesis in Europe: a causality analysis with disaggregated data
European Journal of Government and Economics, 2023 This paper examines Wagner hypothesis of the growth of public expenditure alongside the growth of economic activity for a panel of 28 European economies during the 1995-2018 period.
Ivan D Trofimov
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Diagnostic testing for cointegration [PDF]
Journal of Econometrics, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Études Caribéennes, 2012 April, 2011. The excitement in streets is the sign that a major event for the future of the country gets ready: Raoul Castro convened the meeting of the 6th congress of the Cuban Communist Party.
Jessica Mixhe
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Alternative asymptotics for cointegration tests in large VARs [PDF]
, 2016 Johansen's (1988, 1991) likelihood ratio test for cointegration rank of a Gaussian VAR depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data.
A. Onatski, Chen Wang
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