Results 81 to 90 of about 67,836 (307)
Mixed Signals Among Panel Cointegration Tests [PDF]
Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied ...
Hanck, Christoph
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of trade liberalisation on income inequality across 24 Sub‐Saharan African (SSA) countries from 2000 to 2020. Using IV‐Tobit and 2SLS models, we consistently find that greater trade openness significantly exacerbates inequality in the region. Critically, we document an inverted U‐shaped relationship between trade
Guivis Zeufack Nkemgha +2 more
wiley +1 more source
The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison. [PDF]
PLoS One, 2022 Aysan AF, Guney I, Isac N, Khan AUI.
europepmc +1 more source
Cointegration Tests and the Classical Dichotomy
, 2017 Based on either Monte Carlo simulations, or several examples based on actual data, I show that the ability of Johansen's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e ...
openaire +3 more sources
Impact of Sovereign Debt Maturity on Fiscal Sustainability
International Journal of Finance &Economics, EarlyView.ABSTRACT This study is the first to investigate the impact of the term structure of public debt on fiscal sustainability. We adopt the widely used backward‐looking measure of fiscal sustainability—fiscal responsiveness as proposed by Bohn. Using data from De Graeve and Mazzolini and focusing on a sample of 19 most developed countries, we demonstrate ...
António Afonso +3 more
wiley +1 more source
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source
Asymmetric price transmission in the Slovak liquid milk market
Agricultural Economics (AGRICECON), 2013 The divergence in liquid milk price trends has raised concern about the efficiency of the milk market price transmission in Slovakia. The paper provides empirical evidence on the price transmission among the producer, wholesale, and retail markets of ...
T. Weldesenbet
doaj +1 more source
ADL tests for threshold cointegration [PDF]
In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable.
Jing Li, Junsoo Lee
core
Sustainable Development, EarlyView.ABSTRACT This study examines the asymmetric effects of eco‐innovation on income‐based carbon emissions inequality within G7 economies over the period 1990–2023. Theoretically grounded in innovation diffusion theory and political economy frameworks, we argue that green technological advancements exert non‐linear, directional effects on emissions ...
Brahim Bergougui +5 more
wiley +1 more source
Purchasing power parity in Mexico since 1933
Latin American Economic Review, 2017 A new approach to cointegration developed by Enders et al. (Cointegration tests using instrumental variables with an example of the U.K. demand for money. Unpublished working paper.
Frederick H. Wallace
doaj +1 more source