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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TL;DR: In this article, the authors compare and contrast three dynamic econometric methodologies for estimating the demand for electricity by households and industrial companies, and conclude that the scale elasticities are similar in all three approaches but the OLS price elasticity is considerably lower.
181 citations
TL;DR: The authors showed that in some Asian countries even though real M1 or M2 monetary aggregates are cointegrated with their determinants, the estimated parameters are unstable, even when the CUSUM and CUSUMSQ tests are incorporated into cointegration analysis.
Abstract: Previous studies that estimated the money demand function in Asian developing countries either employed traditional estimation techniques or recently popularized cointegration technique. While the first group suffers from ‘spurious regression’ problems, the second group interpreted their finding of cointegration as a sign of stability of estimated parameters. This study, after incorporating the CUSUM and CUSUMSQ tests into cointegration analysis, shows that in some Asian countries even though real M1 or M2 monetary aggregates are cointegrated with their determinants, the estimated parameters are unstable.
181 citations
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TL;DR: In this paper, the authors used the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships for Danish residential energy consumption, and compared it to the estimates obtained using cointegration techniques and error-correction models (ECMs).
Abstract: The findings in the recent energy economic literature that energy economic variables are non-stationary, heve led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are cointegrated. In this paper we use the ARDL approach to estimated a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using cointegration techniques and error-correction models (ECMs). It turns out that both quantitavely and qualitatively, the ARDL approach and the cointegration/ECM approach give very similar results.
181 citations
TL;DR: In this article, the relationship between urbanization and energy consumption in case of Pakistan for the period of 1972Q1-2011Q4 by employing the STIRPAT (Stochastic Impact by Regression on Population, Affluence and Technology) model was investigated.
181 citations
TL;DR: In this paper, the effects of nonlinear transformations on integrated processes and unit root tests performed on such series are considered and a test that is invariant to monotone data transformations is proposed.
Abstract: . In this paper we consider the effects of nonlinear transformations on integrated processes and unit root tests performed on such series. A test that is invariant to monotone data transformations is proposed. It is shown that series are generally not cointegrated with nonlinear transformations of themselves, but the same transformation applied to a pair of cointegrated series can result in cointegration between the transformed series.
180 citations