Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...

Vector error-correction models (VECMs) have become increasingly important in their application to financial markets. Standard full-order VECM models assume non-zero entries in all their coefficient matrices. However, applications of VECM models to financial market data have revealed that zero...

In this chapter, we apply an efficient subset of vector error correction model (VECM) using the forgetting factor to examine the cointegration under climate change of the time series of the gross domestic product (GDP) and the industrial production and that of the utilization and consumption of...

This paper consists of two parts. In the first part the sensitivity of PPP testing to the nature of the unit root tests is demonstrated. Three unit root tests are employed for fourteen real bilateral exchange rates. The first two, the augmented Dickey-Fuller test and the Phillips-Perron test are...