Search Results - subject:"Cointégration"

Weak exogeneity, cointegration and stability tests

Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191531

Testing for nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543

Persistent link: https://www.econbiz.de/10015196620

Interrelationships among government participation, population and growth of per capita income : inquiry on top twenty income-holding countries in the world

Das, Ramesh Chandra - In: Economies : open access journal 13 (2025) 2, pp. 1-29

. With the theoretical setup of the model and using empirical tools, such as cointegration, error correction and causality in …

Persistent link: https://www.econbiz.de/10015210217

Exploring the tourism and economic growth relationship in Vietnam : a cointegration analysis with model-specific structural breaks

Kumar, Ronald Ravinesh; Stauvermann, Peter; Lien Thi Mai Dau - In: Economies : open access journal 13 (2025) 2, pp. 1-47

In this study, we present a comprehensive analysis to examine the resilience of tourism in Vietnam since the Doi Moi period. Using an augmented Solow framework, data from 1986 to 2020, and the ARDL approach, we estimate the long-run and short-run effects, whilst accounting for model-specific...

Persistent link: https://www.econbiz.de/10015210381

Causal threads : SMEs and macroeconomic indicators in Indonesia

Henryanto, Aria Ganna; Haniruzila Hanifah; Cahyadin, Malik - In: Journal of small business strategy 35 (2025) 2, pp. 82-95

Persistent link: https://www.econbiz.de/10015399146

Banking in the negative : a vector error correction analysis of bank-specific lending and deposit rates

Agati, Alessandra; Sigmund, Michael - 2025

cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit Facility Rate …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

Persistent link: https://www.econbiz.de/10015183164

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating …

Persistent link: https://www.econbiz.de/10015200188

World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover

Benati, Luca - 2025

I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...

Persistent link: https://www.econbiz.de/10015329682

Modeling the relationships among the stock market, gold price, oil price and exchange rate : a MECM and VDA approach

Agrawal, Pravin Kumar; Kumar, Mohit - In: Financial internet quarterly 21 (2025) 1, pp. 1-14

asset classes. The results reveal that a long-term equilibrium exists among the variables, with significant cointegration …

Persistent link: https://www.econbiz.de/10015393621

Are money demand equations still alive and kicking? : historical evidence of cointegration for the UK, using nonlinear techniques

Escribano, Álvaro; Rodríguez, Juan-Andrés; Arranz, … - 2025

Persistent link: https://www.econbiz.de/10015395823