Results 171 to 180 of about 29,321 (214)

Price discovery in the South African stock index futures market [PDF]

, 2009
Floros, Christos
core  

Life expectancy and health care spending in South Asia: An econometric analysis. [PDF]

PLoS One
Dhungana BR, Singh JK, Dhungana S.
europepmc   +1 more source

Can wage changes solve the labour crisis in the National Health Service? [PDF]

Eur J Health Econ
Zhou X, Skordis J, Yi J, Li Y, Clarke J, Zhang H.   +5 more
europepmc   +1 more source

Liberalization vis-à-vis non-liberalization trade policy: Exploring the impact of price volatility on producer share price and cocoa supply response in Nigeria and Ghana. [PDF]

Heliyon
Adegunsoye EA, Tijani AA, Kolapo A.
europepmc   +1 more source

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A more powerful modification of Johansen's cointegration tests

Applied Economics, 2008
We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.
Steve Leybourne, Tae-Hwan Kim, Paul Newbold   +2 more
openaire   +1 more source

Booststrapped johansen tests for cointegration relationships: a graphical analysis

Journal of Statistical Computation and Simulation, 2001
Using Monte Carlo methods together with the bootstrap critical values, we have studied the properties of two tests (Trace and Lmax), derived by Johansen (1988) for testing for cointegration in VAR systems. Regarding the size of the tests, the results show that both of the test methods perform satisfactorily when there are mixed stationary and ...
Panagiotis Mantalos, Ghazi Shukur
openaire   +1 more source

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Oxford Bulletin of Economics and Statistics, 1993
This study examines the finite-sample bias of S. Johansen's likelihood ratio tests for cointegration using the Monte Carlo method. Response surface analysis is employed to obtain approximations to the finite-sample critical values and illustrate the individual roles of the sample size, the dimension of the variable system, and the lag order in ...
Yin‐Wong Cheung, Kon S. Lai
openaire   +1 more source

The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis

International Journal of Computational Economics and Econometrics, 2010
This paper investigates the effect of spillover (i.e. causality in variance) on the Johansens tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating proce ...
Panagiotis Mantalos, Kristofer Mansson, Ghazi Shukur   +2 more
openaire   +1 more source

Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies

Empirical Economics, 2009
We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988; Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching ...
Erik Hjalmarsson, Pär Österholm
openaire   +1 more source