Time series are said to be nonstationary when they have a mean or variance that varies over time. Some nonstationary time series are stationary if you first difference them. Nonstationary time series tend to wander. Cointegration says that they wander together, meaning that there is a long-run...
Furthermore, the MWALD causality test shows a bidirectional causal relationship between money supply (M2) and aggregate prices, meaning that both the monetarist's and also the structuralists' views are vindicated in the Malaysian economy. However, the time-varying cointegration and causality tests ...
Aiare n×n coefficient matrices for all i = 1...p; utis a vector white noise process (assumes lack of auto correlation, while allow contemporaneous (同时发生的) correlation between components, i.e., uthas non-diagonal covariance matrix, meaning thatcontemporaneous dependencies aren't modeled) ...
We assume that the vector process yt is integrated of order one I(1), meaning that its first difference is stationary. Note that yt can be I(1) even if some of its components are stationary (Johansen, 1991, Ch. 5). Furthermore, we assume that yt follows a vector autoregressive model...
The purpose of this essay is to apply the Johansen`s method to model a cointegration system using Swedish national account data and interpret the economic meaning according to the estimated long-run coefficient matrix. Our data includes five economic time series: Final Consumption, Investment, Export...
The outcome for both models indicates a long-term relationship between the exchange rate and its explanatory variables, meaning that the null hypothesis cannot be rejected at a 5% significance level. The result is consistent with a recent study by Ref. [42]. Additionally [34], provided evidence...
The phenomenon of huge Capital Flight (CF) appeared while China introduced a large number of Foreign Direct Investments (FDI) . Quantitative analysis on the correlative relation between CF and FDI was of important instructional meaning for the theory and policy study. The Cointegration Analysis and ...
Introduction The relationship between stock prices and exchange rates in Korea. Two time series are cointegrated by the Engle-Granger two-step cointegration test. Exchange rates may share many of the general behavioral characteristics of the prices of assets that are traded on organized exchanges, suc...
(3).The flow integrator leads to substitution, in(2)and(3),of the regressors Pt-2 and Pt-3 by Pt-3/2.Here the regressor Pt-3/2 has the same meaning as in (1). Model (1) is descriptive,and models(2)and(3)–rescriptive, in the sense of [15].The regression(2)models the no...
It is important to address that the empirical studies investigated in the aforementioned comprehensive literature surveys and meta-analysis research implicitly assume a symmetric relationship between suicide and unemployment, meaning that the effect of an increase of unemployment on suicides is the same as...