Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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Book•
17 May 1995
TL;DR: In this article, the authors introduce the Short-Run and Long-Run models and test unit roots and Cointegration in single-and multi-dimensional systems, respectively.
Abstract: 1. Introduction and Overview 2. Short - and Long-Run Models 3. Testing for Unit Roots 4. Cointegration in Single Equations 5. Cointegration in Multivariate Systems 6. Modelling the Short-Run and Other Extensions Appendix References Index
969 citations
TL;DR: In this article, it was shown that the two estimators are identical if the conditioning variables are weakly exogenous for the cointegrating relations and their adjustment coefficients, when there is no weak exogeneity.
965 citations
TL;DR: In this article, the causal relationship between financial development, trade, economic growth, energy consumption and carbon emissions in Turkey for the 1960-2007 period was examined, and the results showed that an increase in foreign trade to GDP ratio results an increased per capita carbon emissions and financial development variable has no significant effect on carbon emissions.
941 citations
TL;DR: In this article, the causal relationship between energy consumption, carbon dioxide emissions, economic growth, trade openness and urbanization for a panel of new EU member and candidate countries over the period 1992-2010 was investigated.
939 citations
Book•
01 Jan 2003
TL;DR: In this paper, the authors present a practical guide to Cointegration analysis using the Johansen Technique, which is used in the SHAZAM framework for forecasting financial time series.
Abstract: Preface. 1. Introduction and Overview. Some Initial Concepts. Forecasting. Outline of the Book. 2. Short-- and Long--run Models. Long--run Models. Stationary and Non--stationary Time Series. Spurious Regressions. Cointegration. Short--run Models. Conclusion. 3. Testing for Unit Roots. The Dickey--Fuller Test. Augmented Dickey--Fuller Test. Power and Level of Unit Root Tests. Structural Breaks and Unit Root Tests. Seasonal Unit Roots. Structural Breaks and Seasonal Unit Root Tests. Periodic Integration and Unit Root--testing. Conclusion on Unit Root Tests. 4. Cointegration in Single Equations. The Engle--Granger (EG) Approach. Testing for Cointegration with a Structural Break. Alternative Approaches. Problems with the Single Equation Approach. Estimating the Short--run Dynamic Model. Seasonal Cointegration. Periodic Cointegration. Asymmetric Tests for Cointegration. Conclusion s. 5. Cointegration in Multivariate Systems. The Johansen Approach. Testing the Order of Integration of the Variables. Formulation of the Dynamic Model. Testing for Reduced Rank. Deterministic Components in the Multivariate Model. Testing of Weak Exogeneity and VECM with Exogenous I (l) Variables. Testing for Linear Hypotheses on Cointegration Relations. Testing for Unique Cointegration Vectors. Joint Tests of Restrictions on alpha and beta Seasonal Unit Roots. Seasonal Cointegration. Conclusions. Appendix 1: Programming in SHAZAM. 6. Modelling the Short--run Multivariate System. Introduction. Estimating the Long--run Cointegration Relationships. Parsimonious VECM. Conditional PVECM. Structural Modelling. Structural Macroeconomic Modelling. 7. Panel Data Models and Cointegration. Introduction. Panel Data and Modelling Techniques. Panel Unit Root Tests. Testing for Cointegration in Panels. Estimating Panel Cointegration Models. Conclusion on Testing for Unit Roots and Cointegration in Panel Data. 8. Modelling and Forecasting Financial Times Series. Introduction. ARCH and GARCH. Multivariate GARCH. Estimation and Testing. An Empirical Application of ARCH and GARCH Models. ARCH--M. Asymmetric GARCH Models. Integrated and Fractionally Integrated GARCH Models. Conditional Heteroscedasticity, Unit Roots and Cointegration. Forecasting with GARCH Models. Further Methods for Forecast Evaluation. Conclusions on Modelling and Forecasting Financial Time Series. Appendix: Cointegration Analysis Using the Johansen Technique: A Practitioner's Guide to PcGive 10.1. Statistical Appendix. References. Index.
934 citations