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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: Gregory and Hansen as mentioned in this paper proposed a more general model that permits a trend shift as well as a regime shift and they provided the critical values appropriate for testing this hypothesis, and they considered three models: level shift, level shift with trend, and regime shift (both level and slope coefficients can change).
Abstract: Recently A. W. Gregory and B. E. Hansen (1996) proposed a number of residual-based tests for cointegration models with the possibility of a structural break. They considered three models: level shift, level shift with trend, and regime shift (both level shift and slope coefficients can change). The authors introduce a more general model that permits a trend shift as well as a regime shift and they provide the critical values appropriate for testing this hypothesis. Copyright 1996 by Blackwell Publishing Ltd

558 citations

Journal ArticleDOI
TL;DR: In this paper, the authors present empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration, which is introduced in Granger and Lee (1989).
Abstract: The accumulated sum of a stationary series is called integrated. If a linear combination of some of the integrated series is stationary, it is said to be cointegrated. This paper presents empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration, which is introduced in Granger and Lee (1989). A vector integrated series is multicointegrated if the accumulated sum of its stationary (cointegrated) linear combination is again cointegrated with itself. Inventory, which is the accumulated sum of production minus sales, is probably cointegrated with production and sales. The empirical results generally support the presence of multicointegration of production and sales in many U.S. industries and industrial aggregates. The results also favour the non-symmetric error correction model, providing evidence that the strength of attraction is different on both sides of the attractor. A modified (S, s) rule for inventory control is investigated in the context of a non-symmetric error correction model, and the results generally do not support the (S, s) rule. Sufficient evidence is found to conclude that multicointegration is a useful concept in the area of inventory determination.

555 citations

Posted Content
TL;DR: A survey of recent developments in the field of cointegration can be found in this article, which links long run components of a pair or of a group of series, and can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way.
Abstract: This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced in the early 1980s and has generated much interest since then amongst econometricians and macroeconomists. The authors discuss the basic ideas in their introduction, and the final chapters review the most recent developments in the field in a non-technical way that will enable economists with some training in modern econometrics to understand and appreciate these developments.

552 citations

Journal ArticleDOI
TL;DR: The authors provides an updated survey of a burgeoning literature on testing, estimation, and model specification in the presence of integrated variables, a specific class of non-stationary variables which seem to characterise faithfully the properties of many macroeconomic time series.
Abstract: This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterise faithfully the properties of many macroeconomic time series. The analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher's point of view.

550 citations

Journal ArticleDOI
TL;DR: In this article, the authors investigated the relationship between CO2 emissions, energy consumption, economic growth and trade openness in Pakistan over the period of 1971-2009 and found that there exists a long-run relationship among the variables and the Environmental Kuznets Curve (EKC) hypothesis is supported.
Abstract: The paper is an effort to fill the gap in the energy literature with a comprehensive country study of Pakistan. We investigate the relationship between CO2 emissions, energy consumption, economic growth and trade openness in Pakistan over the period of 1971–2009. Bounds test for cointegration and Granger causality approach are employed for the empirical analysis. The result suggests that there exists a long-run relationship among the variables and the Environmental Kuznets Curve (EKC) hypothesis is supported. The significant existence of EKC shows the country's effort to condense CO2 emissions and indicates certain achievement of controlling environmental degradation in Pakistan. Furthermore, we find a one-way causal relationship running from economic growth to CO2 emissions. Energy consumption increases CO2 emissions both in the short and long runs. Trade openness reduces CO2 emissions in the long run but it is insignificant in the short run. In addition, the change of CO2 emissions from short run to the long span of time is corrected by about 10% yearly.

541 citations


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