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 authors examined the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting.
335 citations
Journal Article•
TL;DR: In this article, the autoregressive model for cointegrated variables is analyzed with respect to the role of the constant and linear terms, and the asymptotic distributions of the test statistics and estimators are found.
Abstract: The autoregressive model for cointegrated variables is analyzed with respect to the role of the constant and linear terms. Various models for 1(1) variables defined by restrictions on the deterministic terms are discussed, and it is shown that statistical inference can be performed by reduced rank regression. The asymptotic distributions of the test statistics and estimators are found. A similar analysis is given for models for 1(2) variables with a constant term.
333 citations
TL;DR: In this article, the authors studied the impacts on economic growth of a small tourism-driven economy caused by an increase in the growth rate of international tourism demand and presented a formal model and empirical evidence.
332 citations
TL;DR: In this paper, the authors examined the causality issue between energy consumption and GDP for South Korea and Singapore, with the aid of cointegration and error-correction modeling, and found that bidirectional causality between GDP and energy consumption for both South Korea, and unidirectional causal relationship from energy consumption to GDP for Singapore.
331 citations
329 citations