At the same time, our new meta test avoids the arbitrary decision which test to use if single test results conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same data set. We apply our test to 143 data sets from published...
In this blog post, you will understand the essence of the Johansen Test for cointegration and learn how to implement it in Python. Another popular test for cointegration is theAugmented Dickey-Fuller (ADF) test. The ADF test has limitations which are overcome by using the Johansen test. The ...
MathWorks is the leading developer of mathematical computing software for engineers and scientists. Discover… Explore Products MATLAB Simulink Student Software Hardware Support File Exchange Try or Buy Downloads Trial Software Contact Sales Pricing and Licensing How to Buy Learn to Use Documentation ...
(2004). Panel cointegration: Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory, 20(3), 597–625. Article Google Scholar Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section ...
(2001), "How to deal with intercept and trend in practical cointegration analysis?" Applied Economics, Vol. 33 No. 5, pp. 577-579.Franses, P.H. (2001), "How to Deal with Intercept and Trend in Practical Cointe- gration Analysis," Applied Economics, 33, 577-579....
Engle, R. F. and Granger, C. W. J. (1991) Long-run Economic Relationships: Readings in Cointegration, Oxford University Press. Priestley, M. & Subba Rao, T. (1969) A Test for Non-Stationarity of Time-Series. Journal of the Royal Statistical Society. Series B (Methodological), Vol. ...
For geopolitical risk, the results are mixed with a significant causality of negative shocks on the FIAIX over certain frequencies, emphasising the sensitivity of the banking sector to geopolitical tensions. In contrast, the world economic uncertainty has only a limited direct impact on the FIAIX,...
The cointegration tests provide evidence of long-run equilibrium relationships between GDP /sectoral outputs and the respective explanatory variables in at least some cross-sectional units and potentially in the entire panel. Appendices 4 to 9, provided in the separate supplementary documents, present ...
Using the bounds testing approach to error-correction modelling and cointegration, we show that money demand is stable in these countries.doi:10.1080/00036840802112406Sahar BahmaniDepartment of EconomicsAli M. KutanrnDepartment of Economics and Finance...
For example, examining the Kuznets curve in ASEAN nations confirmed the existence of carbon dioxide emissions from an EKC [25]. To explore the Turkish construction sector, the researchers used DOLS, a conventional dynamic least squares algorithm, complete Regression using standard cointegration (CCR)...