Results 111 to 120 of about 5,155 (224)
, 2013 In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based
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Inflation convergence after the introduction of the Euro [PDF]
Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency.
Markus Mentz,, Steffen P. Sebastian
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The Demand for Money in Cote d’Ivoire: Evidence from the Cointegration Test.
This paper demonstrates that there is a long run equilibrium relationship between money supply 〖(M〗_1) and its main determinants, real income (GDP) and interest rate in Cote d’Ivoire.
Drama, Bedi Guy Herve, Yao, Shen
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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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The influence of economic globalization and economic growth on unemployment rate in Vienam
Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh, 2020 The objective of this paper is to examine the influence of economic globalization and economic growth on unemployment rate in Viet Nam.
Nguyễn Quyết
doaj
, 2019 This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length.
Jurvelin Olsson, Mikael, Hild, Andreas
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An aggregate import demand function for Australia: a cointegration approach [PDF]
This paper investigates the relationship among quantity of imports, relative import prices and real GDP in the aggregate import demand function for Australia during the period 1959Q3Ã’2006Q3.
Riaz Shareef, Vu Tran
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Modelling real GDP per capita in the USA: cointegration test
A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per capita itself ...
Kitov, Oleg +2 more
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This study differs from the frequently used multi-country, short-horizon designs in the literature by covering the period 1990-2021 for Türkiye. More importantly, instead of reducing financial development to a single proxy, it enhances the robustness of the results by employing a composite financial development index that jointly captures the banking ...
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Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration [PDF]
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009)
Schindler, Felix, Voronkova, Svitlana
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