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 article employed multivariate trace statistic, Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France, Switzerland, Italy, and Netherlands.
Abstract: The paper employs the multivariate trace statistic [Pcirc]z, the Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France, Switzerland, Italy, and the Netherlands. The analysis covers the period 03/01/83–29/11/96. The results from these tests are robust and consistent in suggesting that the US market is not pairwise cointegrated with any of the European markets, which is in contrast to previous evidence on the linkages between the US and European markets. This finding implies that there exist potential long-run benefits in risk reduction from diversifying in US stocks and stocks in any of the major European markets.
199 citations
TL;DR: In this paper, the authors examined convergence on the European level by using production functions which include capital and labor as factors of production, and found that convergence can be decisively rejected, although the number of common trends is relatively low (about four or five).
Abstract: The paper examines convergence on the European level by using production functions which include capital and labor as factors of production. The methodology is based on principal-components analysis of common trends appropriate for heterogeneous panels. Using data for the 1960–1997 period and alternative specifications, it is found that convergence can be decisively rejected, although the number of common trends is relatively low (about four or five).
199 citations
TL;DR: In this paper, the authors demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling (VECM) and forecast error variance decomposition (VDC) analysis, may be used to shed some light on these concerns in the context of six major international stock markets.
199 citations
TL;DR: In this article, an empirical analysis of the demand for maize, milk powder, butter, and rice imports in Cyprus, using annual time series data covering the period 1975-1994, is presented.
Abstract: This paper presents an empirical analysis of the demand for maize, milk powder, butter, and rice imports in Cyprus, using annual time series data covering the period 1975–1994. None of these products is produced in Cyprus and all the necessary quantities are imported to meet domestic demand. The primary objective of the paper is to derive long-run price and income elasticities of import demand that can be used to analyse the impact of various policies such as the adoption of the Common Agricultural Policy (CAP) when, and if, the Republic of Cyprus joins the European Union (EU). In so doing the paper takes on board some recent developments in time series econometrics. The cointegration test used (the ‘bounds’ test) is a recent test and is based on the estimation of an unrestricted error-correction model (UECM). Parsimonious models were derived using Hendry's ‘general to specific’ approach. The estimated elasticities were subsequently used to quantify some of the implications for Cyprus had the CAP been ope...
199 citations
TL;DR: This article presented an empirical analysis of long-run purchasing power parity (PPP) during the 1920s float, using recently developed methodology on the cointegration of economic time series.
198 citations