Narrow search
Showing 1 - 10 of 3,966
Cover Image
Cointegration and Causality between Romanian Exports and Imports
Dumitriu, Ramona - 2012
to March 2009. We test the cointegration and causality between the two variables. The results of Engle-Granger, Johansen … and cointegration tests are ambiguous while the Breitung test infirmed the hypothesis of cointegration between exports and …
Persistent link: https://www.econbiz.de/10013099062
Cover Image
A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
Cover Image
Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
Cover Image
A multivariate causality analysis of export and growth for Turkey
Halicioglu, Ferda - 2008
testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms …
Persistent link: https://www.econbiz.de/10011523113
Cover Image
The financial development and economic growth nexus for Turkey
Halicioglu, Ferda - 2008
1968 to 2005. The bounds testing approach to cointegration is conducted to establish the existence of a long …
Persistent link: https://www.econbiz.de/10011523134
Cover Image
A parametric factor model of the term structure of mortality
Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22
The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...
Persistent link: https://www.econbiz.de/10012025646
Cover Image
House prices and tourism development in Cyprus : a contemporary perspective
Alola, Andrew A.; Asongu, Simplice; Alola, Uju V. - 2019
Lag (ARDL)-bound test model. The empirical results indicate a significant evidence of cointegration. Indicatively, an …
Persistent link: https://www.econbiz.de/10012107815
Cover Image
The perils of counterfactual analysis with integrated processes
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016
are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …
Persistent link: https://www.econbiz.de/10011579472
Cover Image
Financial cycles and bankruptcies in the Nordic countries
Hansen, Jan - 2003
a financial cycle, followed by severe banking crises. Cointegration analysis and Granger causality tests suggest that …
Persistent link: https://www.econbiz.de/10011584527
Cover Image
Growth empirics : structural transformation and sectoral interdependencies of Sri Lanka
Jayasooriya, S. P. - 2017
, vector autoregression, was used including causality analysis, and Gregory-Hansen cointegration, for estimating a long … effect of Gregory-Hansen co-integration affirmed a long-run nexus in agricultural growth positively with industrial and …
Persistent link: https://www.econbiz.de/10011637982