Results 111 to 120 of about 7,993 (229)
The Sustainability of India's current account (1950-2003): Evidence from parametric and non-parametric unit root and cointegration tests [PDF]
This study conducts an investigation into the sustainability of the Indian current account over the study period 1950-2003. It is argued that a necessary condition for current account sustainability is that exports and imports are cointegrated.
Mark J. Holmes +2 more
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Abstract This study is examined the validity of the Phillips curve hypothesis using the Johansen cointegration and artificial intelligence methods for the period of 2010-2022 in Türkiye and it is also compared the forecasting performance of these methods using coefficient of determination values and error values. Results of the study an 1% increase in
TUNÇSİPER, Bedriye +1 more
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An Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture
The differences in prices paid and prices received by farmers are examined using cointegration analysis. A Johansen cointegration test between prices paid and prices received revealed that the series were cointegrated.
Campiche, Jody L. +3 more
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Explaining Cointegration Analysis: Part II [PDF]
We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs).
Katarina Juselius, David F. Hendry
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Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiBanks are among the most important actors in the economy due to their role as market makers. The banking sector stands out as one of the sectors with the highest liquidity. Borsa Istanbul (BIST) Bank Index represents the index of banks whose shares are traded on the stock exchange in Turkey.
Mesut Fenkli +2 more
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Nonparametric cointegration analysis
In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of ...
Bierens, H.J.
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This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is
David Neto, Jaya Krishnakumar
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Cointegration since Granger: evolution and development
Quantitative Methods in Economics, 2011 This paper is an attempt to give a subjective overview of evolution and development of cointegration concept since the first paper by C.W.J. Granger in 1991, Johansen’s reduced rank method of 1987 and Engle and Granger 1987 paper. Various generalizations
Ewa Marta Syczewska
doaj
Cointegration and conditional correlations among German and Eastern Europe equity markets
This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these ...
Guidi, Francesco, Gupta, Rakesh
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The Long Run, Market Power and Retail Pricing [PDF]
The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers in Austria. Long-run retail pricing strategy is found to be dependent on market share and price elasticity of demand for product.
Jumah, Adusei
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