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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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TL;DR: In this paper, the authors investigated the impact of urbanisation on CO2 emissions by applying the Stochastic Impacts by Regression on Population, Affluence and Technology (STIRPAT) in the case of Malaysia over the period of 1970Q1-2011Q4.
Abstract: We investigate the impact of urbanisation on CO2 emissions by applying the Stochastic Impacts by Regression on Population, Affluence and Technology (STIRPAT) in the case of Malaysia over the period of 1970Q1-2011Q4. Empirically, after testing the integrating properties of the variables using unit root test, we applied the Bayer-Hanck combined cointegration approach to examine the cointegration relationship between the variables. Further, we tested the robustness of long-run relationship in the presence of structural breaks using ARDL bounds testing approach. The causal relationship between the variables is investigated by applying the VECM Granger causality test. Our results validate the existence of cointegration in the presence of structural breaks. The empirical results exposed that economic growth is a major contributor to CO2 emissions. Besides, energy consumption raises emissions intensity and capital stock boosts energy consumption. Trade openness leads affluence and hence increases CO2 emissions. More importantly, we find that the relationship between urbanisation and CO2 emissions is U-shaped i.e. urbanisation initially reduces CO2 emissions, but after a threshold level, it increases CO2 emissions. The causality analysis suggests that the urbanization Granger causes CO2 emissions.
121 citations
TL;DR: This paper applied recently developed panel unit root and panel cointegration techniques to estimate the long-run income and price elasticities for oil in the Middle East, finding that demand for oil is highly price inelastic and slightly income elastic.
121 citations
TL;DR: In this paper, the authors test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms, and conclude that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.
Abstract: The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms To this end, we proceed to a cointegration and causality study between the two variables Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position
121 citations
TL;DR: In this article, the authors build on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest.
Abstract: This study builds on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest. It also builds on work by Pesaran et al . (2001) in generating response surfaces for the critical bounds of this test generated by the possibility that there are cointegrating relationships between the variables on the right hand side of the error-correction equation.
121 citations
TL;DR: In this paper, the presence of short and long-run linkages among major emerging Central European stock markets, namely Poland, Czech Republic, Hungary, and Slovakia, as well as developed markets, particularly Germany and the USA, is investigated.
Abstract: The presence of short- and long-run linkages among major emerging Central European stock markets, namely Poland, Czech Republic, Hungary, and Slovakia, as well as developed markets, particularly Germany and the USA, is investigated. An error correction vector autoregressive model is estimated to detect cointegration relationships and the empirical findings support the presence of one cointegration vector, indicating a stationary long-run relationship. Both domestic and external forces affect stock market behaviour, leading to long-run equilibrium but the individual Central European markets tend to display stronger linkages with their mature counterparts rather than their neighbours. Long-run co-movements imply that diversifying risk and attaining superior portfolio returns by investing in different Central European markets may be limited for international investors.
121 citations