Results 61 to 70 of about 5,155 (224)
Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests [PDF]
, 2006 In this article we propose a record counting cointegration (RCC) test that is robust to nonlinearities and certain types of structural breaks. The RCC test is based on the synchronicity property of the jumps (new records) of cointegrated series, counting
Sipols, Ana E. +2 more
core +1 more source
Business Ethics, the Environment &Responsibility, EarlyView.ABSTRACT This study investigates the impact of environmental attention on cryptocurrency market volatility by introducing the Crypto Environmental Attention Index (CEAI), a new metric inspired by Wang et al. (2022) and constructed using daily web search data.
Ines Ghazouani +2 more
wiley +1 more source
Testing for cointegration using the Johansen approach: Are we using the correct critical values? [PDF]
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate.
Paul Turner
core
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Long-run Validity of Export-Led Growth: An Empirical Reinvestigation from Linear and Nonlinear Cointegration Test [PDF]
This study is able to uncover long-run cointegration relationship for Singapore and South Korea, based on the Breitung (2001) rank test procedures. Breitung (2001) rank test can detect both linear and nonlinear cointegration relationships, added value to
Chong Mun Ho +2 more
core
Causality between Exports and Economic Growth: Investigating Suitable Trade Policy for Pakistan [PDF]
Eurasian Journal of Business and Economics, 2012 This study investigates causal relationship between GDP and exports for the period of 1975 to 2010. The aim of this study is to check affectivity of export promotion policy adopted by Pakistan during 1990s.
Shujaat ABBAS
doaj
Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms [PDF]
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006).
Carsten Trenkler
core
Relationship among tourism, FDI, and economic growth in Bangladesh
Discover SustainabilityThe tourism sector has grown to be the largest industry in the world, providing jobs to national and local economies. The tourism sector and foreign direct investment are expanding with time, but more research is needed to determine how these ...
Md. Nazmus Sadekin
doaj +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source