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: The results of cointegration tests suggest the existence of long-run cointegrating relationship among the variables, albeit with short dynamic adjustment mechanisms, indicating that the proportion of disequilibrium errors that can be adjusted in the next period will account for only a fraction of the changes.
427 citations
TL;DR: In this paper, the authors employed robust estimation techniques of cointegration to provide more conclusive evidence on the nexus of CO2 emissions, economic growth and coal consumption in China and India.
427 citations
TL;DR: In this paper, the stability between energy consumption and GDP for Taiwan during 1954-2003 was studied using unit root tests and the cointegration tests allowing for structural breakpoints, and they look to match clearly with the corresponding critical economic incidents.
426 citations
TL;DR: In this article, a general multivariate threshold cointegration model was developed and a systematic testing and estimation strategy for this model, building on the work of others, using Monte Carlo experiments.
Abstract: Previous studies investigating threshold behavior in real-exchange-rate and price difference data have used rather ad hoc statistical methods and have focused on univariate threshold models for relative prices. We utilize a general multivariate threshold cointegration model and develop a systematic testing and estimation strategy for this model, building on the work of others. Using Monte Carlo experiments, we systematically compare the use of univariate and multivariate techniques for testing threshold cointegration, estimating various threshold models, and testing specifications. We apply our methodology to a large set of U.S. disaggregated CPI data. We find evidence of threshold cointegration mainly for tradable goods. However, the type of threshold nonlinearity that we find generally does not support the transaction-cost view of commodity arbitrage.
426 citations
TL;DR: In this article, the authors investigated the impact of urbanization 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 urbanization 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 the 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 the 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 urbanization and CO2 emissions is U-shaped i.e. urbanization initially reduces CO2 emissions, but after a threshold level, it increases CO2 emissions. The causality analysis suggests that the urbanization Granger causes CO2 emissions.
424 citations