More powerful threshold cointegration tests
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DOI: 10.1007/s00181-017-1243-4
Abstract: Threshold cointegration tests have made a big splash in the literature by allowing for asymmetric adjustment in linear cointegration tests. This paper contributes to this literature by proposing new tests to improve the power of… read more here.
Keywords: power; cointegration; powerful threshold; cointegration tests ... See more keywords
A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-020-01916-1
Abstract: All tests involving both structural breaks and cointegration are parametric. As a complement to the classical hypothesis testing for empirical researchers, we suggest the use of a one-step model selection approach to simultaneously specifying lag… read more here.
Keywords: structural breaks; cointegration; model selection; breaks cointegration ... See more keywords
Determinants of material footprint in BRICS countries: an empirical analysis
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DOI: 10.1007/s11356-021-13309-7
Abstract: This paper explores the relationship between renewable energy consumption, urbanization, human capital, trade, natural resources, and material footprint for BRICS countries from 1990 to 2016. We apply the cross-sectional dependency test to check the correlation… read more here.
Keywords: brics countries; cointegration; material footprint; footprint brics ... See more keywords
Renewable energy-economic growth nexus revisited for the USA: do different approaches for modeling structural breaks lead to different findings?
Sign Up to like & getrecommendations! Published in 2022 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-021-17684-z
Abstract: It can be observed from the existing energy literature the previous papers investigating the influence of renewables consumption on GDP for the USA commonly ignore structural breaks in the US economy. Hence, the purpose of… read more here.
Keywords: energy; economic growth; renewable energy; structural breaks ... See more keywords
Africa Is Rich, Africans Are Poor! A Blessing or Curse: An Application of Cointegration Techniques
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DOI: 10.1007/s13132-018-0538-9
Abstract: The purpose of the current survey is to examine the presence of the resource curse mechanism for a panel of 22 African countries during the time span 1990–2013. For this purpose, our survey uses the… read more here.
Keywords: africa rich; curse; rich africans; cointegration ... See more keywords
Cointegration and causality among electricity consumption, economic, climatic and environmental factors: Evidence from North -Africa region
Sign Up to like & getrecommendations! Published in 2018 at "Energy"
DOI: 10.1016/j.energy.2018.08.163
Abstract: Abstract This paper investigates the relationship among carbon dioxide emissions, economic growth and electricity consumption in the presence of two other variables which are trade openness and annual average temperature. The study uses data of… read more here.
Keywords: electricity; economic growth; electricity consumption; cointegration ... See more keywords
Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.07.004
Abstract: Abstract When a financial institution has a difficulty to close a position in an illiquid asset, a practical solution is to hedge the risk of the position with a related liquid asset. This may frequently… read more here.
Keywords: time; time consistent; illiquid asset; asset ... See more keywords
Portmanteau-type tests for unit-root and cointegration
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.08.004
Abstract: This paper proposes a new portmanteau-type statistic by combining several lags of the sample autocorrelations to test for the presence of a unit-root of an autoregressive model. The proposed method is nonparametric in nature, which… read more here.
Keywords: type tests; tests unit; cointegration; unit root ... See more keywords
Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102045
Abstract: Abstract The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The… read more here.
Keywords: gold silver; cointegration; prices stocks; fear gauges ... See more keywords
On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
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DOI: 10.1016/j.resourpol.2022.102682
Abstract: This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period… read more here.
Keywords: fractional cointegration; cointegration analysis; relationship; cointegration ... See more keywords
A regime-switching cointegration approach for removing environmental and operational variations in structural health monitoring
Sign Up to like & getrecommendations! Published in 2018 at "Mechanical Systems and Signal Processing"
DOI: 10.1016/j.ymssp.2017.10.013
Abstract: Abstract Cointegration is now extensively used to model the long term common trends among economic variables in the field of econometrics. Recently, cointegration has been successfully implemented in the context of structural health monitoring (SHM),… read more here.
Keywords: operational variations; health monitoring; structural health; cointegration ... See more keywords