Results 61 to 70 of about 31,779 (216)
Recent Developments in Cointegration [PDF]
, 2018 It is well known that inference on the cointegrating relations in a vector autoregression (CVAR) is difficult in the presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which vary ...
Franchi, Massimo, Johansen, Søren
core +1 more source
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, EarlyView.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Buletin Ekonomi Moneter dan Perbankan, 2007 In a long run perspective, the aim of this research is to analyze the impact of the inflating-policy on the employment growth, and the agriculture investment.
Andi Irawan
doaj +1 more source
Exchange Rate Dynamics: Where is the Saddle Path? [PDF]
overshooting, cointegration, Johansen test, simulation, convergence ...
Javier Gardeazabal +2 more
core
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Aviation Demand and Economic Growth in the Czech Republic: Cointegration Estimation and Causality Analysis [PDF]
Statistika: Statistics and Economy Journal, 2014 The main purpose of the paper is to empirically examine the aviation-led growth hypothesis for the Czech Republic by testing causality between aviation and economic growth.
Bilal Mehmood, Amna Shahid
doaj
Permanent Revenue in an Energy‐Exporting Economy: A New Test for Fiscal Equilibrium
Review of Development Economics, EarlyView.ABSTRACT Fiscal disequilibrium arises when permanent expenditures (PEXP) exceed permanent revenue (PREV), a frequent risk in energy‐exporting economies reliant on volatile windfall revenues. However, existing research lacks a clear measure of these concepts and an empirical test for fiscal equilibrium.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source
The cointegration analysis in hypothesis of heteroschedasticity: the wild bootstrap test
Statistica, 2007 We consider the problem of comparing, by simulations, the robustness as regards heteroschedasticity GARCH (1,1) of some of the most important procedures proposed in literature for the cointegration analysis.
Margherita Gerolimetto +1 more
doaj +1 more source
The Causes of Occupational Accidents and Injuries in Romanian Firms: An Application of the Johansen Cointegration and Granger Causality Test. [PDF]
Int J Environ Res Public Health, 2021 Ivascu L +4 more
europepmc +1 more source