Results 81 to 90 of about 5,155 (224)

Omitted variables in cointegration analysis [PDF]

This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991).
Pashourtidou, Nicoletta
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

Omitted variables in cointegration analysis

, 2003
This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991).
Pashourtidou, Nicoletta
core  

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

COINTEGRATION AND ASYMMETRIC ADJUSTMENT: SOME NEW EVIDENCE CONCERNING THE BEHAVIOUR OF THE US CURRENT ACCOUNT [PDF]

imports and exports and asymmetries in the adjustment of the US current account over the study period 1960Q4-2007Q2. We find evidence in favour of cointegration through the application of the standard Johansen methodology.
Mark J. Holmes, Theodore Panagiotidis
core  

An investigation of the contribution of processed and unprocessed agricultural exports to economic growth in South Africa

Cogent Economics & Finance, 2019
The paper attempts to empirically test the contribution of unprocessed and processed agriculture of exports to economic growth in South Africa. The study used time series data which spanned from 1986 to 2012. A Johansen cointegration approach was used to
Courage Mlambo, Peter Mukarumbwa, Ebenezer Megbowon   +2 more
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

Editorial Introduction to the 40th Anniversary Special Issue

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT We introduce this special issue, based on the proceedings of a conference held in the Department of Economics in the University of Oxford from 7 to 9 April 2025, organised to commemorate the 40th anniversary of cointegration. Following a setting of the scene and discussion of the motivation for the conference, the papers are summarised in ...
Anindya Banerjee, Sophocles Mavroeidis, Robert Taylor   +2 more
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  

Brain Drain and Productivity Growth: Evidence From South Africa, 1947–2019

Economics of Transition and Institutional Change, Volume 34, Issue 3, Page 605-631, July 2026.
ABSTRACT This paper provides empirical evidence of how high‐level human capital outflow could affect TFP‐based economic development and vice versa. The concern of potential endogeneity between brain drain and economic development is addressed directly.
Johannes Fedderke, Xiaodi Dong
wiley   +1 more source