Is There A Long-Run Relationship Between Taxation And Growth: The Case Of Turkey [PDF]
This paper empirically investigates long-run equilibrium relationship between economic growth and tax revenues in Turkey by using the bounds test and Johansen technique for cointegration.
Katircioglu, Salih Turan
core
On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 2000 This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust
Gonzalo, Jesús, Lee, Tae-Hwy
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Real and Monetary Convergence within the European Union and Between the European Union and Candidate Countries: A Rolling Cointegration Approach [PDF]
, 2002 We use rolling cointegration to measure the convergence of base money, M2, the consumer price index and industrial output between two reference countries, Germany and France, and recent EU members and some transition economy candidates.
Brada, Josef C., Kutan, Ali M., Zhou, Su
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Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Since the seminal contributions of Friedman and Schwartz and of Hendry and Ericsson, instability in money demand has remained a central issue in the literature. This study broadens and generalizes the first evidence for the United Kingdom of stable long‐ and short‐run broad money demand extending back to the nineteenth century. Using nonlinear
Álvaro Escribano +2 more
wiley +1 more source
Testing for cointegration using the Johansen approach: Are we using the correct critical values? [PDF]
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate.
Paul Turner
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Confidence Intervals for Price Discovery
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen +2 more
wiley +1 more source
The impact of the Chinese cornstarch futures on spot market and corn futures market
Cogent Economics & Finance, 2017 This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model.
Crentsil Kofi Agyekum +2 more
doaj +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
Multivariate Cointegration Technique Estimation of Health Demand Function: The Case of Croatia [PDF]
In this paper multivariate Johansen cointegration technique is used in order to estimate health demand function in Croatia. Empirical estimate is based on the theoretical foundation of Grossman's model.
Josip Tica, Šime Smolić
core
The monetary model of the US Dollar–Japanese Yen exchange rate: An empirical investigation [PDF]
, 2013 This article considers the long-run performance of the monetary approach to explain the dollar–yen exchange rates during a period of high international capital mobility.
Hunter, J, Menla Ali, F
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