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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Papers
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TL;DR: In this paper, the authors investigated the impact of equity markets and top incomes on art prices and found that both same-year and lagged equity market returns have a significant impact on the price level in the art market.
Abstract: This paper investigates the impact of equity markets and top incomes on art prices. Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on the price level in the art market. Over a shorter time frame, we also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration tests strongly suggest the existence of a long-term relation between top incomes and art prices.
147 citations
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TL;DR: In this paper, the authors review recent developments in time series econometrics applications in the energy economics literature and highlight best practice in the literature, including econometric modeling challenges, and suggest recommendations for future research.
147 citations
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TL;DR: The authors re-examine Wagner's hypothesis of an expanding government sector with progress of the economy using advanced econometric techniques such as cointegration and exogeneity tests not used in previous empirical studies.
Abstract: This paper re-examines Wagner's hypothesis of an expanding government sector with progress of the economy using advanced econometric techniques such as cointegration and exogeneity tests not used in previous empirical studies. This study also uses much longer time series data for the USA than previously utilized. The empirical results based on cointegration and exogeneity tests provide strong support for the hypothesis for the USA.
147 citations
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TL;DR: In this paper, the relative influence of US and Japanese real interest rates in the determination of local Pacific Rim rates is investigated, where influence is defined by the presence of common stochastic trends.
146 citations
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TL;DR: The principal findings are that health care expenditures and incomes at the state level are non-stationary and cointegrated, and the income elasticity of health care, even at the aggregate level, is a necessity good.
Abstract: This paper provides new evidence on the income elasticity of health care by combining stationarity and cointegration tests of health care expenditure and incomes with estimates of the cointegrating relationship between them. A recently updated dataset of health care expenditures and disposable personal income for the US states for the years 1966–1998 is used. The principal findings are that health care expenditures and incomes at the state level are non-stationary and cointegrated. Dynamic OLS cointegrating regressions of the pooled state time series estimate the income elasticity of health care at 0.817 to 0.844, well below unity, confirming that health care expenditure, even at the aggregate level, is a necessity good.
146 citations