Cointegration

About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.

Financial development, globalization, and CO 2 emission in the presence of EKC: evidence from BRICS countries

Abstract: This study examines the impact of energy consumption, financial development, globalization, economic growth, and urbanization on carbon dioxide emissions in the presence of Environmental Kuznets Curve (EKC) model for BRICS economies, by using a family of econometric techniques robust to heterogeneity and cross-sectional dependence Results from LM test, CIPS and CADF unit root test, Westerlund Cointegration test, the Dynamic seemingly unrelated regression (DSUR), and Dumitrescu-Hurlin Granger causality test show that (i) the data is cross sectionally dependent and heterogeneous; (ii) carbon dioxide emissions, energy consumption, financial development, globalization, economic growth, square of GDP and urbanization have integration of order one; (iii) the examined variables are co-integrated; (iv) energy consumption and financial development contribute to the carbon dioxide emissions whereas globalization and urbanization have negative but insignificant relationship with carbon dioxide emissions; (v) supports the EKC hypothesis in BRICS economies; (vi) bidirectional causality exists among energy consumption, financial development, economic growth and square of GDP with carbon dioxide emissions whereas globalization and urbanization have unidirectional relationship with carbon dioxide emissions Since these panel techniques account for heterogeneity and cross-sectional dependence in their estimation procedure, the empirical results are robust and reliable for policy recommendations Furthermore, this study also uses time series tests (ADF, P-P, and FMOLS) to find the empirical results for each of the country and finds mixed results Empirical findings directed towards some important policy implications

Asymptotics for nonlinear transformations of integrated time series

Abstract: An asymptotic theory for stochastic processes generated from nonlinear transformations of nonstationary integrated time series is developed. Various nonlinear functions of integrated series such as ARIMA time series are studied, and the asymptotic distributions of sample moments of such functions are obtained and analyzed. The transformations considered in the paper include a variety of functions that are used in practical nonlinear statistical analysis. It is shown that their asymptotic theory is quite different from that of integrated processes and stationary time series. When the transformation function is exponentially explosive, for instance, the convergence rate of sample functions is path dependent. In particular, the convergence rate depends not only on the size of the sample but also on the realized sample path. Some brief applications of these asymptotics are given to illustrate the effects of nonlinearly transformed integrated processes on regression. The methods developed in the paper are useful in a project of greater scope concerned with the development of a general theory of nonlinear regression for nonstationary time series. Nonstationary time series arising from autoregressive models with roots on the unit circle have been an intensive subject of recent research. The asymptotic behavior of regression statistics based on integrated time series (those for which one or more of the autoregressive roots are unity) has received the most attention, and a fairly complete theory is now available for linear time series regressions. The resulting limit theory forms the basis of much ongoing empirical econometric work, especially on the subject of unit root testing and cointegration model

Carbon emission, energy consumption, trade openness and financial development in Pakistan: A revisit

Abstract: The paper empirically examines the cointegrating relationship between carbon emissions, energy consumption, trade openness and financial development in Pakistan using ARDL bounds test for cointegration procedure. Annual time series data is used for the period 1971–2011. The results reveal an inverted U-shaped relationship between carbon emission and energy consumption with a maximum threshold value of energy consumption per capita 640 kg of oil equivalent. Currently, the economy is operating below this level and therefore it is expected that carbon emission will continue to rise gradually over some time until the threshold level is reached. The lower than threshold level of energy consumption implies that scale and composition effects dominate the technology effect in terms of energy use. Further, the long-run results indicate that one percent increase in trade openness and financial development will increase carbon emission by 0.247% and 0.165%, respectively. The short-run elasticities are 0.122% and 0.087% for trade openness and financial development, respectively. The Granger causality results indicate a unidirectional causality from energy consumption, trade openness and financial development to carbon emission; and a bi-directional causality between energy consumption and financial development. In line with the results and given the growing focus on climate change effects in Pakistan, the paper discusses some policy issues for consideration and highlights the need to interpret elasticities with caution.