Journal ArticleDOI
Modelling of cointegration in the vector autoregressive model
TLDR
In this article, a survey is given of some results obtained for the cointegrated VAR and the notions of cointegration and common trends are defined, and a statistical model for co-integrated I (1) variables is defined.About:
This article is published in Economic Modelling.The article was published on 2000-08-01. It has received 125 citations till now. The article focuses on the topics: Cointegration & Autoregressive model.read more
Citations
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Journal ArticleDOI
Inequality and growth: evidence from panel cointegration
TL;DR: The authors used heterogeneous panel cointegration techniques to estimate the long-run effect of income inequality on per-capita income for 46 countries over the period 1970-1995 and found that inequality has a negative long run effect on income, both for the sample as a whole and for important subgroups within the sample.
Posted Content
The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries
TL;DR: In this paper, the vector autoregressive (VAR) methodology was used to estimate the dynamic effects of public capital using a large set of OECD countries, and the empirical results suggest that there is evidence for positive output effects of government capital in OECD countries.
Posted Content
The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999
Abstract: We examine the long-run relationship between fertility, mortality, and income using panel cointegration techniques and the available data for the last century. Our main result is that mortality changes and growth of income per capita account for a major part of the fertility change characterizing the demographic transition. The fertility reduction triggered by falling mortality, however, is not enough to overcompensate the positive effect of falling mortality on population growth. This means that growth of income per capita is essential to explain the observed secular decline of population growth. These results are robust against alternative estimation methods, potential outliers, sample selection, di erent measures of mortality, and the sample period. In addition, our causality tests suggest that fertility changes are both cause and consequence of economic development.
Journal ArticleDOI
The long-run determinants of fertility: one century of demographic change 1900–1999
TL;DR: This paper examined the long-run relationship between fertility, mortality, and income using panel cointegration techniques and the available data for the last century and found that mortality changes and growth of income contributed to the fertility transition.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
Journal ArticleDOI
Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
Book ChapterDOI
Time Series Analysis
TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
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Co-integration and Error Correction: Representation, Estimation and Testing
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
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