Results 11 to 20 of about 5,155 (224)
Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated [PDF]
International Finance Discussion Papers, 2007 We investigate the properties of Johansen's (1988, 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 an erroneous conclusion regarding the cointegrating rank ...
Erik Hjalmarsson, Par Osterholm
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Comovement of stock markets after the first COVID wave: a study into five most affected countries [PDF]
IIM Ranchi Journal of Management Studies, 2022 Purpose – The purpose of this paper is to look at the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, the USA, Brazil, Russia, India and UK after the first wave along with market indices of the ...
Arindam Das, Arindam Gupta
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Johansen Cointegration test results.
, 2023 Johansen Cointegration test results.
Xiang-Li Wu (12329566) +2 more
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Investigating Crowding-Out Effect Of Government Expenditures: Evidence From Turkey
İzmir İktisat Dergisi, 2021 The purpose of this article is to investigate the effect of government consumption and investment expenditures on private sector investment in the Turkish economy.
Felor Ebghaeı
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Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
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Children’s Quality and Quantity in Nigeria: A Granger Causality Analysis
Humaniora, 2017 This research investigated the cointegration and causal relationships between children’s quality and quantity in Nigeria. The research was based on secondary data obtained from the World Development Indicator database (1980-2014), United Nations ...
Olabiyi K. A., Awe O.O.
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Wieś i Rolnictwo, 2023 The purpose of the study was to analyse the determinants of South African citrus exports post era of trade liberalisations using secondary data from 1996 to 2018.
Mushoni Bulagi +2 more
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A wavelet-based approach for Johansen’s likelihood ratio test for cointegration in the presence of measurement errors: An application to CO2 emissions and real GDP data [PDF]
Communications in Statistics: Case Studies, Data Analysis and Applications, 2020 We suggest a wavelet filtering technique as a remedy to the problem of measurement errors when testing for cointegration using Johansen’s (1988) likelihood ratio test.
Olivier Habimana +2 more
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Results of multivariate Johansen and Juselius (JJ) cointegration test.
, 2022 Results of multivariate Johansen and Juselius (JJ) cointegration test.
Farman Ullah Khan (9279383) +5 more
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Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 In this study, the existence of therelationships between non-performing loans and macroeconomic variables for themonthly data of the Turkish banking sector between January 2005 and August 2018were analysed through the Johansen cointegration test (1991 ...
Mehmet Erdaş
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