Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
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Testing for Exogeneity in Cointegrated Panels [PDF]
Oxford Bulletin of Economics and Statistics, 2014 AbstractThis paper proposes a test for the null that, in a cointegrated panel, the long‐run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T‐consistent, whereas it is ‐consistent when there is no endogeneity. Other estimators can be employed, such as the FM‐OLS, that are
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Robust Tests on Fractional Cointegration [PDF]
, 2001 Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost
Peters, Andrea, Sibbertsen, Philipp
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The sustainability of current account in the presence of endogenous multiple structural breaks: Evidence from developed and developing countries [PDF]
Panoeconomicus, 2016 The purpose of this study is to test for the sustainability of current account in 18 developed and 10 developing countries. The stability of the relationship between export (inflows) and import (outflows) is assessed using the tests proposed by ...
Dülger Fikret
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The Cointegration analysis of per capita trade turnover between the Republic of Azerbaijan and Turkey and the GDPs of these countries [PDF]
Problemi EkonomikiThe article builds an ECM model (error correction model) of the relationship between Azerbaijan's trade turnover with Turkey per capita and the GDP per capita of these countries for the period 1992–2022.
Yuniszada Roya
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Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
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Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
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A Decision-Making Problem for Investment on Renewable Energy Sources in Turkey
Journal of New Results in Science, 2020 Priority of the countries is to achieve economic development and increase the wealth of their nations. In order to achieve this goal, countries need a crucial element which is energy.
Yener Ünal +2 more
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TESTING MONETARY EXCHANGE RATE MODELS WITH PANEL COINTEGRATION TESTS [PDF]
Annals of the University of Oradea: Economic Science, 2015 The monetary exchange rate models explain the long run behaviour of the nominal exchange rate. Their central assertion is that there is a long run equilibrium relationship between the nominal exchange rate and monetary macro-fundamentals.
Szabo Andrea
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Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
Empirical Economics, 2022 AbstractCointegrating polynomial regressions (CPRs), i.e., regressions that include deterministic terms, integrated processes and powers of integrated processes as explanatory variables and stationary errors, have become prominent in several fields of applications, e.g., in the analysis of environmental Kuznets curves.
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