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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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Journal ArticleDOI
TL;DR: In this paper, the authors investigated the long-run demand for tourist travel by tourists from Hong Kong and Singapore for Australia and used the augmented Dickey-Fuller test for unit roots in the univariate framework.
Abstract: Hong Kong and Singapore are two of the most important and fastest growing markets for tourists to Australia. The purpose of this paper is to investigate movements in the long-run demand for tourist travel by these two origin countries for Australia. Some of the leading macroeconomic variables examined to explain tourism demand are incomes in Hong Kong and Singapore, tourism prices in Australia, and transportation costs and exchange rates between the two countries and Australia. Seasonally unadjusted quarterly data are used for Hong Kong for the period 1975(1)–1996(4), and for 1980(4)–1996(4) for Singapore. Several proxy variables are used for the incomes of tourists from Hong Kong and Singapore to explain quarterly tourist arrivals to Australia. The augmented Dickey-Fuller test for unit roots is examined in the univariate framework, and Johansen's maximum likelihood procedure is used to test for cointegration and to estimate the number of cointegrating vectors. Error correction models are estimated to exp...

148 citations

Journal ArticleDOI
TL;DR: The results show that energy consumption increases CO2 emissions at all panel levels while it increases emissions in the MENA and the BRICS countries, and the Environmental Kuznets curve (EKC) hypothesis is valid for theBRICS.
Abstract: Economic growth and economic energy consumption have received greater attention due to its contribution to global CO2 emissions in recent decades. The literature on CO2 emissions and innovation for regional differences is very scanty as there is not enough study that considered different regions in a single analysis. We adopt a holistic approach by incorporating different regions so as to assess how innovation contributes to emission reduction. The study, therefore, examined the effects of innovation and economic growth on CO2 emissions for 18 developed and developing countries over the period of 1990 to 2016. The study used panel technique capable of dealing with cross-section dependence effects: panel cross-sectional augmented Dickey-Fuller (CADF) unit root to determine the order of integration, Westerlund cointegration tests confirmed that the variables are co-integrated. We employed panel fully modified ordinary least square (FMOLS) and panel dynamic ordinary least square (DOLS) to estimate the long-run relationship. The results show that energy consumption increases CO2 emissions at all panel levels. However, innovation reduces CO2 emissions in G6 while it increases emissions in the MENA and the BRICS countries. Environmental Kuznets curve (EKC) hypothesis is valid for the BRICS. The pollution haven hypothesis (PHH) and pollution halo effect were confirmed at different panel levels. Based on the findings different policy recommendations are proposed.

148 citations

Journal ArticleDOI
TL;DR: In this article, the authors re-examine the stationarity of international real interest rates, an issue first investigated by Rose [Journal of Finance 43(5) (1988) 1095], using a new set of unit root tests developed by Ng and Perron with good size and power.

148 citations

Journal ArticleDOI
TL;DR: In this paper, the authors employed the bounds-testing procedure for cointegration to examine the potential long-run relationship, while an autoregressive distributed lag model was used to derive the short and long run coefficients.
Abstract: Purpose – This study attempts to re‐investigate the electricity consumption function for Malaysia through the cointegration and causality analyses over the period 1970 to 2005.Design/methodology/approach – The study employed the bounds‐testing procedure for cointegration to examine the potential long‐run relationship, while an autoregressive distributed lag model is used to derive the short‐ and long‐run coefficients. The Granger causality test is applied to determine the causality direction between electricity consumption and its determinants.Findings – New evidence is found in this study: first, electricity consumption, income, foreign direct investment, and population in Malaysia are cointegrated. Second, the influx of foreign direct investment and population growth are positively related to electricity consumption in Malaysia and the Granger causality evidence indicates that electricity consumption, income, and foreign direct investment are of bilateral causality.Originality/value – The estimated mult...

148 citations

Posted Content
TL;DR: In this article, the Toda and Yomamoto Granger Causality Test was used to carry out the test of causality between electricity consumption and economic growth from 1971 to 2008.
Abstract: Research into the electricity-economic growth nexus has important implications for energy conservation measures and environmental policy. However, results from the energy-economic growth nexus have been mixed in the literature on Ghana. This posses serious problems for the country’s energy policy. Much research is thus, required to establish the direction of causality between energy and economic growth. Nonetheless, less evidence is available for Ghana. It is against this background that this study seeks to investigate the direction of causality between a type of energy, electricity, and economic growth to add to the existing argument in the literature. The Toda and Yomamoto Granger Causality Test was used to carry out the test of causality between electricity consumption and economic growth from 1971 to 2008. The results obtained herein revealed that there exists a unidirectional causality running from economic growth to electricity consumption. Thus, data on Ghana supports the Growth-led-Energy Hypothesis. The results imply that electricity conservation measures are a viable option for Ghana. Keywords : Ghana; Real GDP per capita; Electricity consumption; Toda and Yomamoto; Granger Causality Test; Bounds cointegration JEL Classifications: Q400; Q430

148 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023757
20221,583
2021645
2020755
2019752
2018720