Results 81 to 90 of about 2,203 (191)
Cointegration in a MIDAS Regression
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 712-725, August 2026.ABSTRACT Mixed data sampling (MIDAS) cointegration models are used to analyse variables observed at different frequencies. In this paper, we start from an assumed autoregressive distributed lag (ADL) model for high‐frequency observations, and derive the resulting representation when the dependent variable is only observed at a lower frequency.
H. Peter Boswijk, Philip Hans Franses
wiley +1 more source
International Journal of Sustainable Energy, 2018 This document investigates the causal relationship between nuclear energy (NE), pollutant emissions (CO2 emissions), gross domestic product (GDP) and renewable energy (RE) using dynamic panel data models for a global panel consisting of 18 countries ...
Mounir Ben Mbarek +2 more
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Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 658-676, August 2026.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
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Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 677-689, August 2026.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
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Monetary policy and unemployment in the Republic of Serbia [PDF]
Industrija, 2020 The main aim of the examination is to conclude whether monetary policy can influence the unemployment rate through the key policy rate and to analyze the fundamental linkages among inflation and unemployment in the Republic of Serbia, considering that ...
Veselinović Nevena
doaj
, 2022 This paper describes and defines theoretical concepts such as time series, autocovariance, autocorrelation, autoregression, cointegration and error correction necessary for defining and analyzing VECM models, which is also explained in detail and mathematically derived.
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Estimating a VECM for a small open economy
, 2018 One of the most popular ways to model macro economic variables is bythe vector error correction model (VECM). Besides forecasting and testing ofhypotheses, the VECM is often used for calculating impulse responses, whichdescribe how shocks today aect the variables in the future.
Ankargren, Sebastian, Lyhagen, Johan
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A Survey of the Causality Relation between Energy Consumption and Economic Growth in Iran [PDF]
International Journal of Management, Accounting and Economics, 2014 The study of the reasons of economic growth is of great importance and it is always considered by many economists. Improving life quality of people and increasing public welfare are the goals of various governments in the world and economic growth is one
Masoud Nonejad, Sarvoldin Fathi
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Compliance Costs and Financial Performance of Deposit Money Banks in Nigeria
Pan-African Journal of Education and Social Sciences, 2023 The study investigated the effect of compliance costs on the financial performance of deposit money banks in Nigeria. The variables comprising compliance costs are audit fees, AMCON fees, insurance costs, pension contribution costs, and professional fees.
Stella Ogechukwu Okezie +1 more
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