Results 81 to 90 of about 32,224 (224)
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Stock Market Integration among Asian Economies in a Case of India, China and Japan
International Research Journal of Business Studies, 2019 Globalization has opened the door for global investors to avoid the saturation of investment opportunities in the domestic market. Latest technological advancement, accessibility to financial and global information, liberalization and globalization put ...
Pritpal Singh Bhullar
doaj +1 more source
The Relationship Between Corruption and Public Investment: The Case of Turkey [PDF]
This study examines the relationship between corruption and public investment in Turkey for the annual sample period between 1975-2007, using Johansen (1988) and Johansen and Juselius (1990) cointegration analysis.
Yýldýz Saðlam, Ünal Arslan
core
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
The Effect Of Government Consumption Expenditure And Investment Expenditure On PrivateInvestment In Iran (1971-2005) [PDF]
پژوهشهای اقتصادی, 2008 In this research , the effect of Iran’s government’s expenditures on private sector’s investment during the period between 1971 to 2005 has been investigated .
Alireza Kazerooni
doaj
Arab Economic and Business Journal, 2016 The US and BRIC economies are sharing increasing trade as well as financial linkages since the last decade. In this regard, the present study attempts to capture long run and short run inter-linkages and causal relationships between the US and BRIC ...
Amanjot Singh, Manjit Singh
doaj +1 more source
Causal links between trade, foreign direct investment and economic growth for Bangladesh [PDF]
This study investigates empirically the causal relationship between trade, foreign direct investment (FDI) and economic growth of Bangladesh for the period of 1973 to 2008.
Syed Imran Ali Meerza
core
Inflation Control in a CVAR Model With an Application to the Burns/Miller Period in the USA
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The paper addresses the problem of “how to make a nonstationary inflation rate stationary by controlling the policy instrument”. It shows that a necessary condition is a significant non‐zero element in the long‐run impact matrix. An application to US data covering the Burns/Miller periods finds a significant, but positive, long‐run impact on ...
Søren Johansen, Katarina Juselius
wiley +1 more source
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
core
Detecting Sparse Cointegration
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We propose a two‐step procedure for detecting sparse cointegration in high‐dimensional single‐equation models. First, we employ the adaptive lasso to identify the subset of integrated covariates driving the long‐run equilibrium relationship.
Jesús Gonzalo, Jean‐Yves Pitarakis
wiley +1 more source