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Bartlett corrections in cointegration testing [PDF]
Computational Statistics & Data Analysis, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jacobson, Tor, Larsson, Rolf
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A model of fractional cointegration, and tests for cointegration using the bootstrap [PDF]
Journal of Econometrics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests
SAGE Open, 2021 This study aims to examine the causal and long-term effects of domestic finance, political risks, and global risk on domestic economic risk in QISMUT countries, namely Qatar, Indonesia, Saudi Arabia, Malaysia, UAE, and Turkey, covering the period of ...
Xiaojuan He +3 more
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Analyse empirique de la relation entre tourisme et compétitivité : l’exemple des Antilles françaises
Études Caribéennes, 2012 The tourism competitiveness is an important concept today. The most studies investigate this theme from different ways. However, there are few studies about empirical link between tourism and competitiveness.
Louis Dupont
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Rank Tests for Nonlinear Cointegration [PDF]
Journal of Business & Economic Statistics, 2001 A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener processes. Rank-test procedures based on the difference between the sequences of ranks are suggested.
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Cointegration Tests in the Presence of Structural Breaks [PDF]
International Finance Discussion Papers, 1993 Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break.
David F. Hendry +2 more
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Contagion Effects of Covid-19 on Select Stock Market Indices [PDF]
Eurasian Journal of Business and Economics, 2022 We examine the impact of the COVID-19 pandemic on the interlinkages between the Indian stock market and some of the largest indices across the world.
Gopalakrishnan KALPAKAM
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Semiparametrically Optimal Cointegration Test
SSRN Electronic Journal, 2023 This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit experiment, which in this context takes the form of Locally ...
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Financial Repression and Agricultural Growth: The Case of Islamic Republic of Iran (1962-2007) [PDF]
پژوهشهای اقتصادی, 2013 There have been few studies working on effects of financial repression policies on Iran’s economic growth. Considering the huge share of agricultural sector, we have been trying to fill this gap by the help of time series data from 1962 to 2007 on ...
Sanaz Mansouri +2 more
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FDI and Economic Growth in EU13 Countries: Cointegration and Causality Tests
Journal of Competitiveness, 2020 Foreign direct investments are seen as a prerequisite for gaining and maintaining competitiveness. The research objective of this study is to examine the relationship between foreign direct investment (FDI) and economic growth in “new” European Union ...
Vlatka Bilas
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