Journal ArticleDOI
Numerical distribution functions of likelihood ratio tests for cointegration
TLDR
In this article, the authors employ response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration.Abstract:
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously. The principal contributions of the paper are a set of data files that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them. This program, which is freely available via the Internet, can be used to calculate both asymptotic critical values and P-values. Copyright © 1999 John Wiley & Sons, Ltd.read more
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Critical values for cointegration tests
TL;DR: In this article, the results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size and can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator.
Journal ArticleDOI
CO2 emissions, electricity consumption and output in ASEAN
Hooi Hooi Lean,Russell Smyth +1 more
TL;DR: In this article, the causal relationship between carbon dioxide emissions, electricity consumption and economic growth within a panel vector error correction model for five ASEAN countries over the period 1980-2006 was examined.
Journal ArticleDOI
Islamic banking: Interest-free or interest-based?
Beng Soon Chong,Ming-Hua Liu +1 more
TL;DR: In this paper, a study on Malaysia showed that only a negligible portion of Islamic bank financing is strictly profit-and-loss sharing (PLS) based and that Islamic deposits are not interest-free, but are closely pegged to conventional deposits.
Journal ArticleDOI
Energy consumption, economic growth and prices: A reassessment using panel VECM for developed and developing countries
TL;DR: In this paper, the energy consumption-GDP growth nexus was investigated in a panel error correction model using data on 20 net energy importers and exporters from 1971 to 2002, and the results showed that the developed countries' elasticity response in terms of economic growth from an increase in energy consumption is larger although its income elasticity is lower and less than unitary.
Journal ArticleDOI
Export-led growth: a survey of the empirical literature and some non-causality results. Part 1
Judith A. Giles,Cara L. Williams +1 more
TL;DR: A comprehensive survey of more than 150 export-growth applied papers can be found in this paper, where the authors describe the changes that have occurred over the last two decades in the methodologies used empirically to examine for relationships between exports and economic growth, and provide information on the current findings.
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
Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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
Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, the authors give a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model, which has gained popularity because it can capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series.
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