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 paper, a multivariate causality framework was proposed by incorporating capital and labor variables into the model between energy consumption and economic growth based on neo-classical aggregate production theory, and a long run equilibrium cointegration relationship was found between economic growth and the explanatory variables: energy consumption, capital and employment.
167 citations
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TL;DR: In this article, the authors investigated the relationship between CO2 emission, economic growth, energy consumption, trade liberalization and population density in Pakistan with yearly data from 1971 to 2008.
Abstract: In this study, the Environmental Kuznets Curve (EKC) is hypothesized to investigate the relationship between CO2 emission, economic growth, energy consumption, trade liberalization and population density in Pakistan with yearly data from 1971 to 2008. The cointegration analysis using Auto Regressive Distributed Lag (ARDL) bounds testing approach is incorporated. The results support the hypothesis both in short-run and long-run and inverted U-shaped relationship is found between CO2 emission and growth. Interestingly we found trade support the environment positively and population contributes to environmental degradation in Pakistan. The energy consumption and growth are the major explanatory variables which contribute to environmental pollution in Pakistan. Moreover, the time series data analysis is used and the stability of variables in estimated model is also assessed.
167 citations
TL;DR: The cointegration analysis reveals that there exists a long-run relationship between the per capita real income, per capita energy consumption, trade openness, financial development, and per capita carbon emissions in the presence of structural breaks, and the EKC hypothesis is valid for Turkey both in the long run and short run.
Abstract: This study examines the impact of economic growth, energy consumption, trade openness, financial development on carbon emissions for the case of Turkey by using annual time series data for the period of 1960-2013. The Lee and Strazicich test suggests that the variables are suitable for applying the bounds testing approach to cointegration. The cointegration analysis reveals that there exists a long-run relationship between the per capita real income, per capita energy consumption, trade openness, financial development, and per capita carbon emissions in the presence of structural breaks. The results show that in the long run, carbon emissions are mainly determined by economic growth, energy consumption, trade openness, and financial development. The VECM Granger causality analysis indicates a long-run unidirectional causality running from economic growth, energy consumption, trade openness, and financial development to carbon emissions. The findings also show that the EKC hypothesis is valid for Turkey both in the long run and short run. The study provides some implications for policy makers to decrease carbon emissions in Turkey.
166 citations
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TL;DR: In this article, the authors study the finite sample distributions of estimators of the cointegrating vector of linear regression models with I(1) variables, and find that OLS outperforms IV.
Abstract: This paper studies the finite sample distributions of estimators of the cointegrating vector of linear regression models with I(1) variables. Attention is concentrated on the least squares (OLS) and instrumental variables (IV) methods analyzed in other recent work (Phillips and Hansen (1988)). The general preference of OLS to IV techniques suggested by asymptotic theory is reinforced by our simulations. An exception arises for cases of low signal to noise, where spurious IV techniques (so named for their use of instruments that are structurally unrelated to the model) outperform uncorrected least squares. We verify the presence of a small sample estimation bias and show that the Park-Phillips bias correction does reduce the magnitude of this problem. We also find that there is substantial distributional divergence of t-statistics from the normal, unless the Phillips-Hansen endogeneity correction is used. Finally, we apply these methods to aggregate consumption and income data. Our empirical results indicate that the endogeneity and serial dependence connections are important and lead to intuitively plausible changes in the estimated coefficients.
166 citations
TL;DR: In this article, the authors provided new evidence on the long-run convergence between imports and exports in 50 countries over the quarterly period 1973:2 to 1998:1, based on the Johansen [Johansen, S. (1995). Likelihood-based inference in cointegrating vector autoregressive models.
166 citations