Results 81 to 90 of about 7,993 (229)
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
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley +1 more source
Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis [PDF]
This study empirically estimates the critical parameters of the aggregate export demand function for Jordan by using annual time series data (1970-2004) and by applying both Johansen-Juselius and Saikkonen-Lütkepohl multivariate cointegration procedures.
Jamal HUSEIN
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
Canadian Money Demand Functions Cointegration¨CRank Stability [PDF]
This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips, 1999) for cointegration to long¨Crun money demand functions using historical Canadian data back to 1872.
Alfred A. Haug
core
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
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
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
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
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