Cointegration Test and Unit Root Test

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 12 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 18 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 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

The study uses the data of the Philippines, Vietnam, and Thailand over the period of 1995-2017 as gathered from the World Bank and Global Economy. The study uses Brush Pagon LM and Pearson CD to test the cross-section dependence among variables while Levin et al., (2002) panel unit root test to check the stationary in the data. Westerlund (2007) cointegration and FMOLS tests are applied to analyze the long-run relationship.

8p nguaconbaynhay10 22-02-2021 12 4   Download

This paper presents an empirical analysis of public energy access imperative on economic growth in South Africa. The paper is motivated by current paucity of research regarding rural energy provision and economic growth in South Africa. Hence, this research adds a nuanced contribution to the literature by examining the relationship between rural and urban energy provision and economic growth in South Africa. Time series data on public electricity provision for South Africa were collected from 1998 to 2017 from the World Bank economic indicators’ data archive.

5p nguaconbaynhay10 22-02-2021 16 1   Download

This study aims to investigate the relationship between real non-oil GDP growth of Azerbaijan and exchange rate and oil prices. Zivot-Andrews unit root test is applied to deal with structural breaks in data and the Gregory-Hansen (GH) test for robustness. While conventional unit-root tests decision that the series are not stationary at their level, the Ziwot-Andrews test decision that the series is stationary with structural break.

8p kethamoi7 15-08-2020 21 1   Download

The present study makes an effort to find the long run equilibrium between Exchange Rate and Foreign Exchange Reserve. Fifteen years data of these variables has been extracted from the official website of Reserve Bank of India and has been analyzed by devising statistical software E – Views.

6p guineverehuynh 22-06-2020 26 0   Download

To begin with the trends, composition and dynamics of CAD for India are analysed. Next, the influence of capital flows on current account is investigated using Granger noncausality test proposed by Toda and Yamamoto (1995) between current account balance (CAB) to GDP ratio and financial account balance to GDP ratio. Also, the sustainability of India’s current account is examined using different econometrics techniques.

22p nguathienthan5 03-06-2020 23 1   Download

In this study, long-term relationship between Turkey and G8 countries which represent 65% of the world economy is examined by Kapetanios (2002) unit root test and Maki (2012) cointegration test that allow more than two breaks and structural breaks can be determined as endogenous. Furthermore, before unit root and cointegration tests, all series are concluded as linear by Harvey et al. (2008) linearity test.

8p 035522894 13-04-2020 16 3   Download

The aim of this paper is to analyze empirically the relationship between sectoral Foreign Direct Investment (FDI) and macroeconomic variables in the long-run and short-run in Turkey for the period from 2005 to 2016. The cointegration analysis and error correction models are used to test long-run relationship and short-run effects respectively. It is expected that the using of sectoral level data may disentangle the relationship FDI and macroeconomic variables.

22p trinhthamhodang2 19-01-2020 38 2   Download

The study examined taxation and income inequality (GINI), specifically, it determined the impact of Value Added Tax (VAT), Custom and Excise Duties (CED), Petroleum Profit Tax (PPT) and Company Income Tax (CIT) on GINI in Nigeria from the year 1990 to 2016. The Cointegration and Error Correction Models (ECMs) were used to analyze the data. Augmented Dickey Fuller unit root was used to test for stationarity.

18p viankara2711 04-12-2019 20 0   Download

This paper aims to evaluate the effect of the January 25 revolution on stock performance in the Egyptian market during 2010–2012 by analyzing its effects on trading volume, market return fluctuation, and closing price. These variables are analyzed pre- and post-January 25 revolution using the Descriptive statistics group unit root test, cointegrating equation model, GARCH model, and ARCH model.

9p viankara2711 04-12-2019 14 0   Download

In this chapter, students will be able to understand: Highlight the problems that may occur if non-stationary data are used in their levels form, test for unit roots, examine whether systems of variables are cointegrated, estimate error correction and vector error correction models, explain the intuition behind Johansen’s test for cointegration,...

82p estupendo3 18-08-2016 59 3   Download

The structure of the paper is as follows. Section 2 discusses the literature on both measuring competition and the bank interest rate pass-through. Section 3 describes the Boone indicator of competition and Section 4 the employed interest rate pass-through model of the error-correction type and the applied panel unit root and cointegration tests. Section 5 presents the various data sets used. The results on the various tests and estimates of the spread model and the error correction model equations are shown in Section 6. Finally, Section 7 summarises and concludes....

23p taisaocothedung 09-01-2013 65 5   Download

The rest of the paper is set out as follows. Section 2 provides an overview of the theoretical arguments that motivate nonlinear mean- reverting behavior in the futures basis. Section 3 discusses the class of nonlinear models employed for modeling the futures basis. Section 4 describes the data set.

56p bocapchetnguoi 06-12-2012 28 1   Download