Search Results - subject:"STATIONARITY"

Analysis of the correlation between the evolution of the consumer loans and the evolution of household income in Romania

MITROI, Adrian; OPROIU, Alexandru - In: Theoretical and Applied Economics XVIII(2013) (2013) 12(589), pp. 67-82

Study of the literature and the models used in other countries, with higher or lower degrees of development for their financial and banking systems, raise for Romania, in our opinion, several issues which deserve a closer research. One of those issues concerns the fundamentals of real estate...

Persistent link: https://www.econbiz.de/10011005018

THE PROPAGATION EFFECTS OF FINANCIAL CRISIS ON LJUBLJANA STOCK EXCHANGE

Birău, Felicia Ramona - In: Theoretical and Applied Economics 3(580)(supplement) (2013) 3(580)(supplement), pp. 380-389

The aim of this article is to investigate the propagation effects of the global financial crisis on Ljubljana Stock Exchange. Beyond the myth of cyclical extreme financial phenomena, contagion ravages had a very prominent replication especially in emerging capital markets. Several critical...

Persistent link: https://www.econbiz.de/10011005036

Is Foreign Direct Investment Beneficial for Mexico? A Cointegration Analysis, 1958-2010.

Ramirez, Miguel - Department of Economics, Trinity College - 2013

This paper examines the question of whether foreign direct investment (FDI) enhances labor productivity growth in Mexico. Using cointegration analysis, a dynamic labor productivity function for the 1958-2010 period is estimated that includes, inter alia, the impact of changes in the stock of...

Persistent link: https://www.econbiz.de/10010692896

On the Sustainability of Current Account Deficits in Cameroon

Djeutem, Edouard T.; Nguimkeu, Pierre E. - In: International Journal of Economics and Financial Issues 3 (2013) 2, pp. 486-495

Two approaches are used to analyze the sustainability of the current account deficits of Cameroon in order to find out whether current economic policies are sound enough to guarantee the country’ s financial solvency. The first uses a structural procedure to compare current account deficits...

Persistent link: https://www.econbiz.de/10010701133

Exploration of dynamic fixed effects logit models from a traditional angle

Kitazawa, Yoshitsugu - Faculty of Economics, Kyushu Sangyo University - 2013

construct the valid moment conditions (including the stationarity moment conditions) for the case without explanatory variable …

Persistent link: https://www.econbiz.de/10010643254

The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis

ARMEANU, Daniel; DOIA, Cristina Andreea; HANCILA, Melania; … - In: Romanian Statistical Review Supplement 61 (2013) 2, pp. 307-318

Within the study we focused on an analysis of any dependence that may connect some emerging countries aiming mainly to emphasize the intensity of correlations between different financial markets. For this purpose we took into consideration two emerging markets, i.e. Romania and Turkey, due to...

Persistent link: https://www.econbiz.de/10010660793

On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles

Castro, Tomás del Barrio; Rodrigues, Paulo M.M.; … - Centro de Estudos e Formação Avançada em Gestão e … - 2013

Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots...

Persistent link: https://www.econbiz.de/10010668025

Local Structural Trend Break in Stationarity Testing

Skrobotov, Anton - Gaidar Institute for Economic Policy - 2013

procedures under local break to test the stationarity null hypothesis local to unit root, against alternative hypothesis about … the pres- ence of a unit root. We extend the GLS-based stationarity test proposed by Harris et al. (2007) to the case of … uses a with-break stationarity test, but with adaptive critical values. The second procedure utilizes the intersection of …

Persistent link: https://www.econbiz.de/10010712506

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

TINCA, Andrei - In: Theoretical and Applied Economics XVIII(2013) (2013) 11(588), pp. 117-126

Time series data from the capital market exhibits certain qualities which invalidate the hypotheses necessary for obtaining meaningful results from statistical modeling. This paper presents some of these qualities by looking at the time series for prices and returns on the Romanian Stock...

Persistent link: https://www.econbiz.de/10010720600

Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis

Hossain, Md. Shahadath; Rahman, A.B.M. Munibur; Rajib, … - In: International Journal of Economics and Financial Issues 3 (2013) 1, pp. 191-201

utilized. Stationarity of the variables are tested with Augmented Dickey-Fuller (ADF) unit root test and found that variables …

Persistent link: https://www.econbiz.de/10010602037