Showing papers on "Cointegration published in 2008"
Posted Content•
TL;DR: In this article, the authors examined empirically dynamic causal relationships between carbon emissions, energy consumption, income, and foreign trade in the case of Turkey using the time series data for the period 1960-2005.
Abstract: This study attempts to examine empirically dynamic causal relationships between carbon emissions, energy consumption, income, and foreign trade in the case of Turkey using the time series data for the period 1960-2005 This research tests the interrelationship between the variables using the bounds testing to cointegration procedure The bounds test results indicate that there exist two forms of long-run relationships between the variables In the case of first form of long-relationship, carbon emissions are determined by energy consumption, income and foreign trade In the case of second long-run relationship, income is determined by carbon emissions, energy consumption and foreign trade An augmented form of Granger causality analysis is conducted amongst the variables The long-run relationship of CO2 emissions, energy consumption, income and foreign trade equation is also checked for the parameter stability The empirical results suggest that income is the most significant variable in explaining the carbon emissions in Turkey which is followed by energy consumption and foreign trade Moreover, there exists a stable carbon emissions function The results also provide important policy recommendations
1,253 citations
TL;DR: In this article, the authors outline techniques for estimating linear dynamic regressions with stationary data and weakly exogenous regressors, and recommend analysts (1) start with general dynamic models and test restrictions before adopting a particular specification and (2) use the wide array of information available from dynamic specifications.
Abstract: Dramatic world change has stimulated interest in research questions about the dynamics of politics. We have seen increases in the number of time series data sets and the length of typical time series. But three shortcomings are prevalent in published time series analysis. First, analysts often estimate models without testing restrictions implied by their specification. Second, researchers link the theoretical concept of equilibrium with cointegration and error correction models. Third, analysts often do a poor job of interpreting results. The consequences include weak connections between theory and tests, biased estimates, and incorrect inferences. We outline techniques for estimating linear dynamic regressions with stationary data and weakly exogenous regressors. We recommend analysts (1) start with general dynamic models and test restrictions before adopting a particular specification and (2) use the wide array of information available from dynamic specifications. We illustrate this strategy with data on Congressional approval and tax rates across OECD countries.
976 citations
TL;DR: A review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large is provided in this paper.
Abstract: This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.
896 citations
TL;DR: In this paper, the authors apply the new heterogeneous panel cointegration technique to re-investigate the long-run comovements and causal relationships between tourism development and economic growth for OECD and non-OECD countries (including those in Asia, Latin America and Sub-Sahara Africa) for the 1990-2002 period.
825 citations
TL;DR: This paper applied the most recently developed panel unit root, heterogeneous panel cointegration and panel-based error correction models to re-investigate co-movement and the causal relationship between energy consumption and real GDP within a multivariate framework that includes capital stock and labor input for 16 Asian countries during the 1971-2002 period.
722 citations
TL;DR: This article examined the relationship between capital formation, energy consumption and real GDP in a panel of G7 countries using panel unit root, panel cointegration, Granger causality and long-run structural estimation.
694 citations
TL;DR: A new Stata command called xtwest is described, which implements the four error-correction–based panel cointegration tests developed by Westerlund (2007), which are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics.
Abstract: This article describes a new Stata command called xtwest, which implements the four error-correction-based panel cointegration tests developed by Westerlund (2007). The tests are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics, and dependence within as well as across the cross-sectional units.
576 citations
TL;DR: In this article, a simple test for the null hypothesis of no cointegration in panel data is developed, which is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units.
Abstract: This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
466 citations
TL;DR: In this paper, a structural cointegrated VAR model has been considered for the G-7 countries in order to study the direct effects of oil price shocks on output and prices, and the reaction of monetary variables to external shocks.
448 citations
TL;DR: In this article, an approach based on asymmetric cointegration is proposed to account for asymmetries existing in the links between the two variables, and empirical analysis concerns the U.S. economy, but also the G7, Europe and Euro area economies.
393 citations
TL;DR: Wang et al. as discussed by the authors investigated the relationship between environmental pollution and economic growth in China based on the environmental Kuznets curve hypothesis, using Chinese provincial data over 1985-2005, and found that panel cointegration estimation is preferable for all pollutants except for solid wastes.
TL;DR: In this paper, the authors extended three residual-based test statistics for cointegration to the cases that take into account two possible regime shifts, and applied them to determine whether the financial markets in the US and the UK are integrated.
Abstract: It is widely agreed in empirical studies that allowing for potential structural change in economic processes is an important issue. In existing literature, tests for cointegration between time series data allow for one regime shift. This paper extends three residual-based test statistics for cointegration to the cases that take into account two possible regime shifts. The timing of each shift is unknown a priori and it is determined endogenously. The distributions of the tests are non-standard. We generate new critical values via simulation methods. The size and power properties of these test statistics are evaluated through Monte Carlo simulations, which show the tests have small size distortions and very good power properties. The test methods introduced in this paper are applied to determine whether the financial markets in the US and the UK are integrated.
TL;DR: In this paper, the authors discuss several major econometric problems that have been ignored in the empirical environmental Kuznets curve (EKC) literature thus far, including nonlinear transformations of integrated regressors and cross-sectional dependence in the data.
TL;DR: The authors investigated the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil.
TL;DR: In this article, the influence of US dollar exchange rate on the international crude oil price from the perspective of market trading was investigated. And the authors found that the impact of exchange rate fluctuation on the oil market is relatively limited.
TL;DR: In this article, the authors apply a recent advance in panel analysis to estimate the panel cointegration and panel vector error correction models for a set of 22 OECD countries using annual data covering the period 1960-2001.
TL;DR: In this article, the authors examined the dynamic causal relationship between financial depth and economic growth in Kenya by including savings as an intermitting variable and created a simple tri-variate causality model, which revealed that there is a distinct uni-directional causal flow from economic growth to financial development.
TL;DR: In this paper, the authors investigated the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oil-importing and oil-exporting countries.
Abstract: The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oil-importing and oil-exporting countries. Both short-run and long-run interactions are analysed through the implementation of Granger-causality tests, evaluation of cross correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the Granger-causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets.
TL;DR: This paper examined the causal relationship between financial development and economic growth in Egypt during the period 1960-2001 within a trivariate vector autoregressive (VAR) framework (investment being the additional variable).
TL;DR: In this paper, the authors investigated the relationship among tourism development, economic expansion, and poverty reduction in Nicaragua, and found a long-run stable relationship among the three, which indicated the potential economic muscle of tourism to seriously tackle Nicaraguan poverty at scale through helping both Nicaragua's public and private sectors allocate resources to tourism development.
Abstract: This study, using cointegration and causality tests, investigates the relationship among tourism development, economic expansion, and poverty reduction in Nicaragua. The results indicate a long-run stable relationship among the three. The causality tests suggest a one-way Granger causal relation between tourism development and economic expansion, and between tourism and poverty reduction, and a bidirectional causal relation between economic expansion and poverty. The nexus of tourism, economic expansion, and poverty reduction is established in the Nicaraguan economy. This result is supported by testing the sensitivity of the Granger causality test under different lag selections along the optimal lag. The empirical evidence points to the potential economic muscle of tourism to seriously tackle Nicaraguan poverty at scale through helping both Nicaragua's public and private sectors allocate resources to tourism development, resulting in the overall improvement of the economy.
TL;DR: In this paper, Kanioura et al. investigated the relationship between electricity consumption and economic growth in Malaysia from 1972:1 to 2003:4 using the newly developed ECM-based F -test.
Posted Content•
TL;DR: In this paper, two iterative procedures are proposed to jointly estimate the slope parameters and the stochastic trends, and the resulting estimators are referred to respectively as CupBC (continuously updated and bias-corrected) and CupFM (continuous-updated and fully modified) estimators.
Abstract: This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness induced by the unobservable I(1) trends. We propose two iterative procedures that jointly estimate the slope parameters and the stochastic trends. The resulting estimators are referred to respectively as CupBC (continuously-updated and bias-corrected) and the CupFM (continuously-updated and fully-modified) estimators. We establish their consistency and derive their limiting distributions. Both are asymptotically unbiased and asymptotically mixed normal and permit inference to be conducted using standard test statistics. The estimators are also valid when there are mixed stationary and non-stationary factors, as well as when the factors are all stationary.
Book•
09 Dec 2008TL;DR: In this article, the authors present the traditional methodology of tourism demand modeling, including Vector Autoregression (VAR), Cointegration, and Error Correction Model (ECM).
Abstract: 1. Introduction to Tourism Demand Analysis 2. Recent Developments in Tourism Demand Analysis 3. Traditional Methodology of Tourism Demand Modelling 4. General-to-Specific Modelling 5. Cointegration 6. Error Correction Model 7. Vector Autoregression (VAR) and Cointegration 8. Time Varying Parameter Modelling 9. Panel Data Analysis 10. Systems of Demand Equations 11. Evaluation of Forecasting Performance
TL;DR: In this paper, the authors examined the residential demand for electricity in South Africa as a function of real gross domestic product per capita, and the price of electricity during the period 1978-2005.
TL;DR: In this article, the authors examined the residential demand for electricity in the US economy as a function of the per capita income, the price of electricity, the prices of oil for heating purposes, the weather conditions and the stock of occupied housing over the period 1965-2006.
TL;DR: In this article, the impact of real exchange-rate volatility on the export flows of eight Latin American countries over the quarterly period 1973-2004 was investigated empirically, and it was shown that increases in the volatility of the real effective exchange rate, approximating exchange rate uncertainty, exert a significant negative effect upon export demand in both the short-run and the long-run in each of the eight Latin America countries.
TL;DR: Empirically investigate the co-movements and the causal relationships among real GDP, tourism development, and the real exchange rate in a multivariate model and finds the structural breakpoints.
TL;DR: The authors examined the impact of bilateral real exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to thirteen industrialised countries and provided strong evidence that exchange-rate volatility has a negative impact on the exports of emerging east Asian countries.
Abstract: This paper examines the impact of bilateral real exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to thirteen industrialised countries. We explicitly recognize the specificity of the exports between the emerging East Asian and industrialised countries and employ a generalized gravity model that combines a traditional long-run export demand model with gravity type variables. In the empirical analysis we use a panel comprising 25 years of quarterly data and perform unit-root and cointegration tests to verify the long-run relationship among the regression variables. The results provide strong evidence that exchange rate volatility has a negative impact on the exports of emerging East Asian countries. These results are robust across different estimation techniques and do not depend on the variable chosen to proxy exchange rate uncertainty.
TL;DR: In this paper, the authors examined short-term and long-term comovements between developed European Union (EU) stock markets and those of three Central European (CE) countries which recently joined the EU.
TL;DR: In this article, the role of macroeconomic variables on stock prices movement in Ghana was examined using the Databank stock index to represent Ghana stock market and inward foreign direct investments.
Abstract: This study examines the role of macroeconomic variables on stock prices movement in Ghana. We use the Databank stock index to represent Ghana stock market and (a) inward foreign direct investments, (b) the treasury bill rate (as a measure of interest rates), (c) the consumer price index (as a measure of inflation), and (d) the exchange rate as macroeconomic variables. We analyze both long-run and short-run dynamic relationships between the stock market index and the economic variable with quarterly data for the above variables from 1991.1 to 2006.4 using Johansen's multivariate cointegration test and innovation accounting techniques. We established that there is cointegration between macroeconomic variables identified and Stock prices in Ghana indicating long run relationship. Results of Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) indicate that interest rate and Foreign Direct Investment (FDI) are the key determinants of the share price movements in Ghana.