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 success of the EC's plans for economic and political integration depends upon the degree of economic convergence of the national economies, and a preferred approach based on both cointegration and time-varying parameter (Kalman filter) analysis is outlined.
Abstract: The success of the EC's plans for economic and political integration depends upon the degree of economic convergence of the national economies. The study of convergence is concerned with the relative long-run behavior of a number of time series and therefore involves the simultaneous analysis of time series and cross-section data. Alternative measures of convergence are outlined and a preferred approach based on both cointegration and time-varying parameter (Kalman filter) analysis is outlined. These are then used to measure EC convergence. The broad conclusions are that convergence has been taking place within the EC economies but that it is a much slower and more protracted process than many commentators suggest. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester
110 citations
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TL;DR: In this article, the impact of productivity developments in the United States and the euro area on the eurodollar exchange rate was analyzed using the Johansen cointegration framework, and four Behavioural Equilibrium Exchange Rate models were estimated using four different productivity proxies.
Abstract: This paper analyses the impact of productivity developments in the United States and the euro area on the euro-dollar exchange rate. The paper presents a new measure of relative average labour productivity (ALP), which does not suffer from the biases implicit in readily available relative ALP data. Importantly, the patterns of these series differ widely. Employing the Johansen cointegration framework, four Behavioural Equilibrium Exchange Rate models are estimated using four different productivity proxies. Our results indicate that the extent to which productivity can explain the euro depreciation varies with the productivity proxy used: readily available measures explain most, our new, preferred measure least. If foreign exchange traders used the former to assess productivity developments, this might thus have contributed to the weakness of the euro in 2000/2001. In all models, however, productivity can explain only a fraction of the actual euro depreciation experienced in 1999/2000.
110 citations
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TL;DR: This paper developed an empirically constant, data-coherent, error correction model for inflation in Australia, where the level of consumer prices is a mark-up over domestic and import costs, with adjustments for dynamics and relative aggregate demand.
Abstract: This paper develops an empirically constant, data-coherent, error correction model for inflation in Australia. The level of consumer prices is a mark-up over domestic and import costs, with adjustments for dynamics and relative aggregate demand. We address issues of cointegration, general to specific modelling, dynamic specification, model evaluation and testing, parameter constancy, and exogeneity. We also test this model against existing models of Australian prices: this model encompasses (but is not encompassed by) the existing models.
110 citations
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TL;DR: Wang et al. as mentioned in this paper employed a panel unit root, panel cointegration and Granger Causality testing approach to test Wagner's law of increasing state activity using panels of Chinese provinces.
Abstract: This paper tests Wagner's law of increasing state activity using panels of Chinese provinces. The paper's main methodological contribution is in that we employ for the first time in the literature on Wagner's law a panel unit root, panel cointegration and Granger Causality testing approach. Overall, we find mixed evidence in support of Wagner's law for China's central and western provinces, but no support for Wagner's law for the full panel of provinces or for the panel of China's eastern provinces.
110 citations
TL;DR: In this article, the authors employ a new cointegration technique that does not require pre-testing for unit root and estimate income and price elasticities of import and export demand for 28 countries.
Abstract: With introduction of new estimation techniques, old theories receive a renewed attention and on this regard, trade elasticities are no exception. In this paper we employ a new cointegration technique, i.e., ARDL approach to cointegration that does not require pre-testing for unit root and estimate income and price elasticities of import and export demand for 28 countries. The results indicate that price elasticities in most instances are high enough to conclude that real depreciation could improve the trade balance.
110 citations