In static single equation cointegration regression models the OLS estimator will have a non-standard distribution unless regressors are strictly exogenous. In the literature a number of estimators have been suggested to deal with this problem, especially by the use of semi-nonparametric...

There are two intriguing questions about the transition process undertaken by the Ukraine since its declaration of sovereignty in December 1991. (i) Why had one of the more prosperous republics of the former USSR in terms of economic development and population welfare been suffering of both a...

The present study uses the most recent time series data obtained from the Bank of Thailand during the first quarter of 1993 and the fourth quarter of 2012 to investigate the long-run relationship between M1, M2, and M3 money demands and the two determinants (real GDP and interest rate). We use...

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We …nd and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The distributions depend of the number of right-hand side variables, the...

This paper examines the relationship between consumer confidence and consumption expenditures in the US for the period 1970:1-2007:4. Consumer confidence surveys are widely reported in the business and economics media and play an important role in the direction of business decisions and equity...

We show that the use of the real effective exchange rate to test for purchasing power parity, as in Astorga (2012) and other studies, is subject to a problem that biases tests against finding evidence of PPP. The problem is illustrated using Astorga´s data on six Latin American countries.

We study whether there is a long-run relationship between Mexican current account (CA) revenues and expenditures. Our results show that evidence in favor of this claim is drawn only when (at least) three structural break levels are allowed. The CA therefore behaves as a broken-mean stationary...

In this paper, we apply panel cointegration tests and estimation techniques to obtain efficiency measures when it is uncertain whether the underlying technological relationship is structural or spurious due to possible non-stationarity of the data. We illustrate the dangers of efficiency...

Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...