Co-integration

Part 1 of ebook "Essentials of time series for financial applications" provides readers with contents including: Chapter 1 - Linear regression model; Chapter 2 - Autoregressive moving average (ARMA) models and their practical applications; Chapter 3 - Vector autoregressive moving average (VARMA) models; Chapter 4 - Unit roots and cointegration; Chapter 5 - Single-factor conditionally heteroskedastic models, ARCH and GARCH;...

244p daonhiennhien 03-07-2024 3 1   Download

Part 2 of ebook "Stochastic processes and calculus: An elementary introduction with applications" provides readers with contents including: Chapter 7 - Wiener processes (WP); Chapter 8 - Riemann integrals; Chapter 9 - Stieltjes integrals; Chapter 10 - Ito integrals; Chapter 11 - Ito's lemma; Chapter 12 - Stochastic differential equations (SDE); Chapter 13 - Interest rate models; Chapter 14 - Asymptotics of integrated processes; Chapter 15 - Trends, integration tests and nonsense regressions; Chapter 16 - Cointegration analysis;...

235p daonhiennhien 03-07-2024 1 1   Download

The purpose of this research is to identify the relationship between the number of halal tourist arrivals of West Sumatra with economic growth by using the method of test and Granger cause testers Granger in the period 2000–2017. To review this written report, tourism growth is proxy with the number of tourist arrivals (LAR). While the economic consumption of income from tourism (LPAD) is utilized as a placeholder for the increase of tourism as the research.

7p longtimenosee10 26-04-2024 2 1   Download

Part 1 of ebook "Advances in tourism economics: New developments" provides readers with contents including: methodological advances; a meta-analytic comparison of regional output multipliers at different spatial levels; an optimized system dynamics approach for a hotel chain management; modelling tourism demand in Tunisia using cointegration and error correction models;...

116p dangsovu 20-10-2023 6 3   Download

Continued part 1, part 2 of ebook "Statistics and data analysis for financial engineering with R examples" provides readers with contents including: time series models basics; time series models further topics; GARCH models; cointegration; portfolio selection; the capital asset pricing model; factor models and principal components; risk management; bayesian data analysis and MCMC; nonparametric regression and splines;...

407p thamnhuocgiai 24-09-2023 7 4   Download

Do countries consume more electricity as they become richer? This study uses an instrumental variables approach to investigate the connection between electricity consumption and economic growth. With panel data of 32 countries spanning the period of 1996-2014, two potential instruments, which are an oil price shock as the main focus and past saving rates, are used for estimation.

23p viindra 06-09-2023 4 2   Download

The aim of this paper is to investigate the cointegration relationship of stock market index of ASEAN countries from April 2012 to December 2019. Using the Augmented Dickey Fuller Test, it finds that all of the stock market data are non-stationary. Trace tests are used to indicate the number of cointegration ranks in the long run. The results are supported by Vector Autoregression and Vector Error Correction Models in order to point out the short-run relationship between the change in value of a stock market index and the others.

13p nhanchienthien 25-07-2023 9 5   Download

This paper examines this issue in the case of Vietnam by applying the bounds testing (ARDL) approach to cointegration for the period from 1990 to 2017. ARDL approach is used to along with ECM to find out the long run relationship and short-run dynamics between the selected variables. The empirical results indicate a strong relationship between FDI and economic growth in Vietnam.

10p huyetthienthan 23-11-2021 37 4   Download

This study aims to examine the relationship between energy consumption, gross domestic product, and population for the 1985-2015 period. The research questions for this study are as follows: (1) what is the association among energy consumption, GDP, population, and oil price? (2) Which suggestions can be provided based on the research findings? Unit root test, cointegration test, VECM model, and Granger causality are employed to analyze the association between the aforementioned variables.

10p viuchinaga2711 21-10-2021 11 1   Download

This study examines the role of investment in Vietnam's short-term and long-term economic growth. The research method is based on the Granger test, Johansen cointegration, and Vector Error Correction Model (VECM), using the World Bank and General Statistics Office's economic data during the period 2000–2019.

13p vivelvet2711 17-09-2021 7 1   Download

The study examines the asymmetric effect of oil price on the exchange rate and stock price using the nonlinear autoregressive distributive lag (NARDL) technique on the time-series data spanning from January 1996 to September 2020. The multivariate cointegration test showed evidence of a longrun relationship among the stock price, exchange rate, and oil price. The linear Granger causality test showed that stock price is granger caused by oil price and exchange rate, and oil price is granger cause by stock price and exchange rate.

7p mynguyenha 21-07-2021 6 2   Download

This study evaluates the new fiscal regime to ascertain its attractiveness and impact on contractor take. Four features (royalty, cost recovery, tax oil, and profit oil) of the PSC contract terms were used to determine contractor and government takes from the transactions. This study adopted the full range of oil prices captured in the amended DOIBPSC Act in addition to the current market price of oil estimation.

10p mynguyenha 21-07-2021 18 1   Download

This study examines the impact of control of corruption and the effectiveness of governance on the economic growth in Saudi Arabia using the latest cointegration approach of Pesaran et al. (2001) and Kripfganz and Schneider (2019). We utilize unit root and cointegration tests using a maximum available sample from 1996 to 2019. The effect of control of corruption is found insignificant on economic growth, and a positive effect of governance is found in the long-run.

6p mynguyenha 21-07-2021 17 1   Download

This paper aims to investigate the determinants of water demand in Kuwait and assess their impact on consumption. To do this, we applied the cointegration regression and the error correction model (ECM) on annual time series data, covering the period from 1972 to 2019. We found that the price elasticity for fresh water demand in Kuwait is negative and elastic in the long run (-1.095), which is consistent with the existing literature. Also, we found that the income elasticity for demand was positive in the long run (0.234), however, no short run effect was found for either price or income.

5p mynguyenha 21-07-2021 10 2   Download

Adequate supply of energy is important for sustainable growth in an economy. The rate of the growth of the Nigeria’s electricity development is very slow and not effective compare to other emerging economies; this on the other hands has discouraged production, most especially in the manufacturing sector. In light of this, the study investigates the long-run impact of electricity consumption on manufacturing sector performance proxy by output, employment and capital using Canonical Cointegrating Regression for the period of 1981-2019.

7p mynguyenha 21-07-2021 20 2   Download

This study investigates the impact of energy consumption on environmental pollution in Australia using time series data from 1971 to 2015. Gross domestic product (GDP), total population (TP), and financial development (FD) are included as control variables. In achieving the objective, this study employ unit root test, cointegration test, and autoregressive distributed lag (ARDL) long-run and short-run methodology to examine the nexus between energy consumption, carbon dioxide (CO2 ) emissions, Gross Domestic Product (GDP), total population (TP), and financial development (FD).

10p mynguyenha 21-07-2021 7 2   Download

This study’s ARDL model captured a long-run and short-run relation of the whole cointegrated variables in ASEAN countries. Based on a panel of cross-country and time-series observations, the study analyses that the ARDL model was used to cover a model of short-and long-run implications. Based on the result, we identified the root cause of significantly increasing CO2 emission in the past 36 years.

11p caygaocaolon11 18-04-2021 14 3   Download

This paper is aimed at analyzing the interrelation between Foreign Direct Investment (FDI) and energy consumption (EC) in Mexico during the period 1970-2014. To do that, we carry out a cointegration test and a Granger causality analysis. The empirical results from the cointegration test show a stable link between the growth rates of FDI and EC in the long run.

5p caygaocaolon11 18-04-2021 19 1   Download

This present research probes the role of Oil Price (OP) on the 22 categories of manufacturing industries of Saudi Arabia and the growth of total industries during 1990-2018 in the nonlinear settings. To serve the purpose, we utilize the unit root test and nonlinear cointegration test of Shin et al. (2014) based on modified bound statistics of Kripfganz and Schneider (2019).

7p caygaocaolon11 18-04-2021 12 1   Download

Current study sheds the light on the financial development-energy nexus in 32 Belt and Road economies during 2000-2015. Financial development is proxied by domestic credit to private sector. We first examine the order of integration by employing five different panel unit-root tests. Further, we confirm long-term relationship between the variables by running Pedroni and Kao panel cointegration tests. Fully modified ordinary least squares (FMOLS) regression reveal positive long-term relationship between financial development and energy use.

6p caygaocaolon11 18-04-2021 16 1   Download