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  • Search: subject_exact:"Engle-Granger test"
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Subjects
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Kointegration 7,084 Cointegration 7,083 Estimation 1,312 Schätzung 1,312 Theorie 1,093 Theory 1,093 USA 868 United States 866 Wirtschaftswachstum 729 Economic growth 728 Causality analysis 714 Kausalanalyse 714 VAR model 596 VAR-Modell 596 Zeitreihenanalyse 504 Time series analysis 500 Exchange rate 486 Wechselkurs 486 Kaufkraftparität 435 Purchasing power parity 435 Unit root test 435 Einheitswurzeltest 434 Panel 404 Panel study 402 cointegration 382 Aktienmarkt 361 Stock market 360 Deutschland 322 Germany 321 Großbritannien 309 United Kingdom 309 Börsenkurs 294 Share price 294 Inflation 285 Geldnachfrage 283 Money demand 283 EU countries 272 EU-Staaten 272 India 269 Indien 269
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Online availability
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Free 1,544 Undetermined 47
Type of publication
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Article 5,193 Book / Working Paper 1,897
Type of publication (narrower categories)
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Article in journal 4,929 Aufsatz in Zeitschriften 4,929 Graue Literatur 1,773 Non-commercial literature 1,773 Working Paper 1,677 Arbeitspapier 1,676 Article in book 167 Aufsatz im Buch 167 Hochschulschrift 104 Dissertation 103 Thesis 103 Collection of articles written by one author 43 Sammlung 43 Case study 20 Fallstudie 20 Collection of articles of several authors 13 Sammelwerk 13 Bibliographie enthalten 10 Bibliography included 10 Lehrbuch 9 Forschungsbericht 7 Aufsatzsammlung 6 Survey 6 Übersichtsarbeit 6 Amtsdruckschrift 5 Government document 5 Konferenzschrift 5 Commentary 4 Kommentar 4 Handbook 2 Handbuch 2 Kongress 2 Personenfestschrift 2 Publication in honor of a person 2 Bericht 1 Bibliographie 1 Congress report 1 Interview 1 Kongressschrift 1 Mehrbändiges Werk 1
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Language
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English 6,868 German 69 French 39 Spanish 39 Polish 15 Croatian 11 Russian 8 Italian 7 Portuguese 7 Undetermined 7 Czech 5 Slovak 4 Bulgarian 3 Dutch 2 Romanian 2 Danish 1 Lithuanian 1 Albanian 1 Swedish 1 Chinese 1
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Persons
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Caporale, Guglielmo Maria 75 Gil-Alaña, Luis A. 66 Lütkepohl, Helmut 58 Belke, Ansgar 57 Johansen, Søren 47 Narayan, Paresh Kumar 43 Bahmani-Oskooee, Mohsen 41 Wagner, Martin 40 Dreger, Christian 38 Nielsen, Morten Ørregaard 36 Herzer, Dierk 34 Westerlund, Joakim 34 Beckmann, Joscha 33 Jusélius, Katarina 33 Banerjee, Anindya 32 Rault, Christophe 31 Trenkler, Carsten 31 Akmal, Muhammad Shahbaz 30 Saikkonen, Pentti 29 Wolters, Jürgen 29 Mignon, Valérie 28 Chang, Tsangyao 26 Rahbek, Anders 26 Ramírez, Miguel D. 26 Hassler, Uwe 25 Hall, Stephen G. 23 Apergēs, Nikolaos 22 Siliverstovs, Boriss 22 Hecq, Alain W. J. 21 Pesaran, M. Hashem 21 Strachan, Rodney W. 21 Urbain, Jean-Pierre 20 Lee, Chien-chiang 19 Payne, James Earl 19 Reimers, Hans-Eggert 19 Robinson, Peter M. 19 Arize, Augustine Chuck 18 Bohn Nielsen, Heino 18 Marcellino, Massimiliano 18 Österholm, Pär 18
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Institutions
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European University Institute / Department of Economics 26 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 18 Københavns Universitet / Økonomisk Institut 8 Nationalekonomiska Institutionen <Lund> 7 William Davidson Institute <Ann Arbor, Mich.> 7 Centre for International Macroeconomics 6 Aarhus Universitet / Afdeling for Nationaløkonomi 5 Centre for Analytical Finance <Århus> 5 Konjunkturforschungsstelle <Zürich> 5 Svenska Handelshögskolan <Helsinki> 5 Konjunkturinstitutet <Stockholm> 4 Loughborough University / Department of Economics 4 Queen Mary College / Department of Economics 4 School of Economics and Political Science <Sydney> 4 School of Finance and Business Economics <Perth, Western Australia> 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 Centre for Microdata Methods and Practice <London> 3 Econometrisch Instituut <Rotterdam> 3 Economics Department, Queen's University 3 Ekonomiska forskningsinstitutet <Stockholm> 3 Institut für Weltwirtschaft 3 Johns Hopkins University / Department of Economics 3 National Institute of Economic and Social Research 3 University of Sheffield / Department of Economics 3 University of Southampton / Department of Economics 3 Uppsala Universitet / Nationalekonomiska Institutionen 3 Brown University / Department of Economics 2 Centre for International Economic Studies 2 European University Institute / Department of Law 2 Institut National de la Statistique et des Études Économiques <Paris> / Direction des Etudes et Synthèses Economiques 2 Institut for Miljø- og Erhvervsøkonomi <Esbjerg> 2 Nationalekonomiska Institutionen <Göteborg> 2 Nuffield College 2 Philippine Institute for Development Studies <Makati> 2 Rijksuniversiteit Gent / Faculteit Economie en Bedrijfskunde 2 Rutgers University / Department of Economics 2 The Wharton Financial Institutions Center 2 University of Cambridge / Department of Applied Economics 2 University of Canterbury / Dept. of Economics and Finance 2 University of Dundee / Department of Economic Studies 2
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Published in...
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Applied economics 215 Economic modelling 164 Energy economics 121 Economics letters 105 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 101 Journal of econometrics 97 International journal of economics and finance 75 The empirical economics letters : a monthly international journal of economics 58 Discussion papers 51 Applied financial economics 49 CESifo working papers 49 Journal of international money and finance 46 Applied economics letters 45 International review of economics & finance : IREF 44 Discussion paper 42 International Journal of Energy Economics and Policy : IJEEP 42 Econometric theory 41 Journal of international financial markets, institutions & money 41 EUI working paper 39 Oxford bulletin of economics and statistics 39 The journal of developing areas 39 Discussion papers / Department of Economics, University of Copenhagen 38 Journal of policy modeling : JPMOD : a social science forum of world issues 37 Econometric reviews 35 Journal of business & economic statistics : JBES : a publication of the American Statistical Association 33 Journal of macroeconomics 33 Working paper series 33 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 32 Journal of applied econometrics 32 The Pakistan development review : PDR 31 Theoretical and applied economics : GAER review 31 International review of financial analysis 30 Working paper 30 International economic journal 29 International journal of economics and financial issues : IJEFI 29 Journal of Asian economics 29 Economia internazionale 28 Indian journal of economics & business : IJEB 28 The Indian journal of economics 28 The econometrics journal 28
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Sources
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ECONIS (ZBW) 7,083 RePEc 6 EconStor 1
Showing 1 - 50 of 7,090
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Labor flexibility and regional unemployment in Mexico : a panel cointegration analysis
Mendoza Cota, Eduardo - In: Economía, sociedad y territorio 17 (2017) 53, pp. 35-62
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
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"What is the effect of foreign direct investment inflows on economic growth in Pakistan? : an empirical analysis in the light of religious sectarianism as catalyst for terrorism"
Serfraz, Ayesha - 2017
FDI inflows play an important role in bringing growth and development to emerging economies. Pakistan is also heavily dependent on FDI inflows for achieving a high growth rate but the main obstacle being faced by Pakistan is increasing number of terrorist activities. Although there is a vast...
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partialCI : an R package for the analysis of partially cointegrated time series
Clegg, Matthew; Krauss, Christopher; Rende, Jonas - 2017
Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and a random walk component. Analytically, the residual series is described by a partially autoregressive process. The partialCI package provides estimation, testing, and...
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Investor emotional biases and trading volume’s asymmetric response : a non-linear ARDL approach tested in S&P500 stock market
Dhaoui, Abderrazak; Bacha, Sami - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...
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The cyclical position of housing prices : a VECM approach for Hungary
Berki, Tamás; Szendrei, Tibor - 2017
This paper aims to estimate a long-term equilibrium price level for the Hungarian housing market by identifying key underlying macroeconomic factors. For this, in line with the empirical literature, a vector error correction model is employed. The housing market price level is mapped by the...
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Is health care a necessary or luxury product for Asian countries? : an answer using panel approach
Abdullah, S. M.; Siddiqua, Salina; Huque, Rumana - In: Health economics review 7 (2017) 4, pp. 1-12
A number of studies have estimated the income elasticity of health care expenditure to identify whether health care is a necessary or luxury product. However, the issue has received less attention in developing countries, especially in Asian economies. The current study for the first time has...
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Budget deficit causes inflation? : application to Portugal
Rosa, Agostinho Silvestre - In: Análise econômica : revista da Faculdade de Ciências … 35 (2017) 67, pp. 7-19
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Revenue elasticities in euro area countries : an analysis of long-run and short-run dynamics
Koester, Gerrit; Priesmeier, Christoph - 2017
Revenue elasticities play a key role in forecasting, monitoring and analysing public finances under the European fiscal framework, which largely builds on cyclically adjusted indicators. This paper investigates whether there is evidence for dynamic - instead of the currently used static -...
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Demographics and inflation
Bobeica, Elena; Lis, Eliza Magdalena; Nickel, Christiane; … - Task Force on Low Inflation (LIFT) - 2017
Most euro area countries have entered an unprecedented ageing process: life expectancy continues to rise and fertility rates have declined, while retirement age in the last twenty to thirty years hardly increased. This implies an ever smaller fraction of the working age population in total...
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
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An autoregressive and distributed lag model approach to inflation in Nigeria
Iheonu, Chimere Okechukwu; Ihedimma, Godfrey Ikechukwu; … - In: Academic journal of economic studies 3 (2017) 1, pp. 73-80
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Financial liberalization and long-run stability of money demand in Nigeria
Folarin, Oludele E.; Asongu, Simplice - 2017
A stable money demand function is essential when using monetary aggregate as a monetary policy. Thus, there is need to examine the stability of the money demand function in Nigeria after the deregulation of the financial sector. To achieve this, the study employed CUSUM (cumulative sum) and...
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OTC derivatives and global economic activity : an empirical analysis
Bodnar, Gordon M.; Fortun, Jonathan; Marquez, Jaime R. - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-23
That the global market for derivatives has expanded beyond recognition is well known. What is not know is how this market interacts with economic activity. We provide the first empirical characterization of interdependencies between OECD economic activity and the global OTC derivatives market....
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Towards an East German wage curve - NUTS boundaries, labour market regions and unemployment spillovers
Kosfeld, Reinhold; Dreger, Christian - 2017
The relevance of spatial effects in the wage curve can be rationalized by the model of monopsonistic competition in regional labour markets. However, distortions in extracting the regional unemployment effects arise in standard regional (i.e. NUTS) classifications as they fail to adequately...
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Is there a long-term relationship among European sovereign bond yields?
Schaeffer, Ian; Ramírez, Miguel D. - In: Business and Economic Research : BER 7 (2017) 1, pp. 68-86
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Towards an East German wage curve : NUTS boundaries, labour market regions and unemployment spillovers
Kosfeld, Reinhold; Dreger, Christian - 2017
The relevance of spatial effects in the wage curve can be rationalized by the model of monopsonistic competition in regional labour markets. However, distortions in extracting the regional unemployment effects arise in standard regional (i.e. NUTS) classifications as they fail to adequately...
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Does innovation promote economic growth? : evidence from European countries
Maradana, Rana P.; Pradhan, Rudra Prakash; Dash, Saurav; … - In: Journal of innovation and entrepreneurship : JIE 6 (2017) 1, pp. 1-23
The paper examines the long-run relationship between innovation and per capita economic growth in the 19 European countries over the period 1989–2014. This study uses six different indicators of innovation: patents-residents, patents-non-residents, research and development expenditure,...
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Identifying Dornbusch's exchange rate overshooting with structural VECs : evidence from Mexico
Capistrán Carmona, Carlos; Chiquiar, Daniel; … - 2017
In this paper we use data from Mexico to identify Dornbusch's (1976) exchange rate overshooting hypothesis. We specify and estimate a structural cointegrated VAR that considers explicitly the presence of a set of long-run theoretical relations on macroeconomic variables (a purchasing power...
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Is there accuracy of forward freight agreements in forecasting future freight rates? an empirical investigation
Kasimati, Evangelia; Veraros, Nikolaos - 2017
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Do they still matter? : impact of fossil fuels on electricity prices in the light of increased renewable generation
Lips, Johannes - In: Journal of time series econometrics 9 (2017) 2, pp. 1-12
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Towards an East German wage curve : NUTS boundaries, labour market regions and unemployment spillovers
Kosfeld, Reinhold; Dreger, Christian - 2017
The relevance of spatial effects in the wage curve can be rationalized by the model of monopsonistic competition in regional labour markets. However, distortions in extracting the regional unemployment effects arise in standard regional (i.e. NUTS) classifications as they fail to adequately...
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Econometric measurement of earth's transient climate sensitivity
Phillips, Peter C. B.; Leirvik, Thomas; Storelvmo, Trude - 2017
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Asymmetric arbitrage trading on offshore and onshore renminbi markets
Eraslan, Sercan - 2017
This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same...
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Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach
Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10
This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
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Modeling threshold effects in stock price co-movements : a vector nonlinear cointegration approach
Chlibi, Souhir; Jawadi, Fredj; Sellami, Mohamed - In: Studies in nonlinear dynamics and econometrics : SNDE : … 21 (2017) 1, pp. 47-63
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Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-20
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...
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Growth empirics : structural transformation and sectoral interdependencies of Sri Lanka
Jayasooriya, S. P. - 2017
Even though the impacts of the globalization on economic growth and structural changes are inevitable, many developing countries are slowly transformed in the process. This paper examines the impact of structural transformation of Sri Lanka's economy on sectoral interdependencies to provide...
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Multivariate functional time series forecasting : application to age-specific mortality rates
Gao, Yuan; Han Lin Shang - In: Risks : open access journal 5 (2017) 2, pp. 1-18
This study considers the forecasting of mortality rates in multiple populations. We propose a model that combines mortality forecasting and functional data analysis (FDA). Under the FDA framework, the mortality curve of each year is assumed to be a smooth function of age. As with most of the...
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Ideas production and international knowledge spillovers : digging deeper into emerging countries
Luintel, Kul Bahadur; Khan, Mosahid - 2017
Research and Development (R&D) activities of emerging countries (EMEs) have increased considerably in recent years. Recent micro studies and anecdotal evidence points to industrialized countries as the sources of knowledge in EMEs. In this context, we examine ideas production and international...
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Links between the Eurozone stock markets : a new perspective, considering the capitalization level
Gabriel, Vítor; Saraiva, Helena - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 194-209
Recent legalizations of cannabis at the state level in the United States have given rise to renewed interest in the price elasticity of demand for cannabis and implications for likely state excise and sales tax revenues. We use crowdsourced data on prices, qualities, and consumption of cannabis...
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VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Studies in nonlinear dynamics and econometrics : SNDE : … 21 (2017) 3, pp. 1-22
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Why you should use high frequency data to test the impact of exchange rate on trade
Shaar, Karam; Khaled, Mohammed S. - 2017
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Macro-financial effects of portfolio flows : Malaysia's experience
Tng Boon Hwa; Raghavan, Mala; Huey, Teh Tian - 2017
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are discussed. It is shown how hypotheses on the common trends loading matrices can be translated into hypotheses on the cointegration parameters. Algorithms for (constrained)...
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Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...
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Foreign direct investment inflows and labor productivity in Pakistan : a sector-wise panel cointegration analysis
Serfraz, Ayesha - 2017
Developing economies tremendously benefit from FDI inflows since it leads to their economic growth. This study empirically analyzes the effects of sector-wise FDI inflows on respective sector-wise labor productivity for a panel of seven major sectors of Pakistan's economy covering time period of...
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How buoyant is the tax system? : new evidence from a large heterogeneous panel
Dudine, Paolo; Jalles, João Tovar - 2017
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Export hysteresis, capacity constraints and uncertainty : a smooth-transition analysis for euro area member countries
Belke, Ansgar; Wagemester, Jan - 2017
We argue that, under certain conditions described by a sunk cost hysteresis model, firms consider exports as a substitute for domestic demand. This is valid also on the macroeconomic level where the switch from the domestic market to the export market and vice versa takes place in a smooth...
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The implication of financial conditions in the housing market - a cointegrated analyses
Suljoti, Erjona - 2017
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The link between internal financial performance and external financial performance : empirical evidence from South African firms
Du Toit, Elda; Hall, John; Pradhan, Rudra Prakash - In: African finance journal 19 (2017) 1, pp. 70-98
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Budget deficit sustainability and revenue expenditure linkages in major South Asian economies
Shastri, Shruti; Giri, Arun Kumar; Mohapatra, Geetilaxmi - In: Eurasian journal of business and economics : EJBE 10 (2017) 19, pp. 37-59
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Comparison of error correction models and first-difference models in CCAR deposits modeling
Guo, Zi-Yi - 2017 - This version: March 2017
A well-known issue associated with linear time-series models is the so-called spurious regression problem when the variables are non-stationary. To cure this issue, one usually differences the data first, tests the stationarity of the first differences, and then runs regressions on the revised...
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Does energy efficiency promote economic growth? : evidence from a multi-country and multi-sector panel data set
Rajbhandari, Ashish; Zhang, Fan - 2017
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The relationship between electricity consumption and economic growth in the selected member countries of the international energy agency (IEA) : an ARDL bounds test approach
Pata, Ugur Korkut; Yurtkuran, Suleyman - In: Iranian economic review : journal of University of Tehran 21 (2017) 2, pp. 341-364
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The effects of foreign trade, energy consumption and human capital on GDP in several candidate developed countries and developing countries
Varahrami, Vida; Sarfaraz, Maryam - In: Iranian economic review : journal of University of Tehran 21 (2017) 3, pp. 543-566
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Inference for impulse responses under model uncertainty
Lieb, Lenard; Smeekes, Stephan - 2017
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Impact of agricultural export restrictions on prices in importing countries
Deuss, Annelies - 2017
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Exchange rate volatility and exports in the run-up to the EMU accession
Goczek, Łukasz; Mycielska, Dagmara - 2017
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