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: This paper examined the price relationship through time of the primary agricultural commodities, exchange rates, and oil prices, and found that commodity prices are linked to oil for corn, cotton, and soybeans, but not for wheat, and that exchange rates do play a role in the linkage of prices over time.
Abstract: Exchange rates have long been thought to have an important impact on the export and import of goods and services, and, thus, exchange rates are expected to influence the price of those products that are traded. At the same time, energy impacts commodity production in some very important ways. The use of chemical and petroleum derived inputs has increased in agriculture over time; the prices of these critical inputs, then, would be expected to alter supply, and, therefore, the prices of commodities using these inputs. Also, agricultural commodities have been increasingly used to produce energy, thereby leading to an expectation of a linkage between energy and commodity markets. In this paper, we examine the price relationship through time of the primary agricultural commodities, exchange rates, and oil prices. Using overlapping time periods, we examine the cointegration relationship between prices to determine changes in the strength of the linkage between markets through time. In general, we find that commodity prices are linked to oil for corn, cotton, and soybeans, but not for wheat, and that exchange rates do play a role in the linkage of prices over time.
262 citations
TL;DR: In this paper, the authors compared the power and the size distortions of cointegration tests with the Monte Carlo method and found a trade-off between power and size distortions, and concluded that the Zα test performs best.
261 citations
TL;DR: This paper examined the short-run and long-run relationships between visitor arrivals in Fiji, real disposable incomes and relative hotel and substitute prices for the period 1970-2000, using coint...
Abstract: This paper examines the short-run and long-run relationships between visitor arrivals in Fiji, real disposable incomes and relative hotel and substitute prices for the period 1970–2000, using coint...
260 citations
TL;DR: The authors discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series.
Abstract: This article discusses the properties of the univariate Dickey–Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We provide analytical as well as numerical evidence that additive outliers may produce spurious stationary. Hence the Dickey–Fuller test will reject a unit root too frequently and the Johansen test will indicate too many cointegrating vectors. The results easily generalize to models with “temporary change” outliers. Through an empirical example we discuss how additive and temporary change outliers can be detected in practice, and we show how dummy variables can be used to remove the influence of such extreme observations.
259 citations
TL;DR: Examination of stationarity and cointegration of health expenditure and GDP, for a sample of 21 OECD countries using data for the period 1960-1997, by applying a test battery that allows robust inference to be made, indicates that both health spending and GDP are non-stationary.
259 citations