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 paper, the authors investigated changes in the long-run demand for tourism to Greece by Germany and Great Britain by using a number of leading macroeconomic variables, including income in origin countries, tourism prices in Greece, and transportation cost and exchanges rates between the three countries.
267 citations
TL;DR: Dynamic ordinary least squares (DOLS) estimation results suggest statistically significant and positive impacts of economic growth and financial development on renewable energy consumption for the case of India and the causality test results suggest there is a bidirectional causality between renewableEnergy consumption and economic growth in India.
266 citations
TL;DR: In this paper, the authors re-examine the relationship between electricity consumption, economic growth, and employment in Portugal using the cointegration and Granger causality frameworks and find that electricity consumption and economic growth in Portugal are cointegrated and there is bi-directional Granger causal relation between the three variables in the long run.
266 citations
TL;DR: In this article, the authors investigated the relationship between stock prices and macroeconomic variables and found that the stock prices were positively associated with the stock price and the exchange rate was negatively associated with stock prices.
Abstract: Analyzes dynamic linkages between stock prices and four macroeconomic variables for the case of Malaysia using standard and well‐accepted methods of cointegration and vector autoregression. Empirical results suggest the presence of a long‐run relationship between these variables and the stock prices and substantial short‐run interactions among them. In particular, documents positive short‐run and long‐run relationships between the stock prices and two macroeconomic variables. The exchange rate, however, is negatively associated with the stock prices. For the money supply, documents immediate positive liquidity effects and negative long‐run effects of money supply expansion on the stock prices. Also notes the predictive role of the stock prices for the macroeconomic variables. However, there seems to be irregularity in the data when observations from the recent crisis are included. Finally, documents the disappearance of the immediate positive liquidity effects of the money supply shocks and unstable interactions between the stock prices and the exchange rate over time.
265 citations
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TL;DR: In this article, an introduction to unit root econometrics as applied in macroeconomics is presented, emphasizing the importance of correctly specifying deterministic components of the series and the usefulness of unit root tests not as methods to uncover some -true relation" but as practical devices that can be used to impose reasonable restrictions on the data and to suggest what asymptotic distribution theory gives the best approximation to the finite-sample distribution of coefficient estimates and test statistics.
Abstract: This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, emphasizing the following topics: alternative representations of unit root processes, unit root testing procedures, the power of unit root tests, and the interpretation of unit root econometrics in finite samples. A second part of the paper tackles similar issues in a multivariate context where cointegration is now the central concept. The paper reviews representation, testing, and estimation of multivariate time series models with some unit roots. Two important themes of this paper are first, the importance of correctly specifying deterministic components of the series; and second, the usefulness of unit root tests not as methods to uncover some -true relation" but as practical devices that can be used to impose reasonable restrictions on the data and to suggest what asymptotic distribution theory gives the best approximation to the finite-sample distribution of coefficient estimates and test statistics.
265 citations