Identifiability, cointegration and the gravity model

The Gravity Model and Iran's Trade Flows

This article has considered the volume and direction of Iran’s trade using the gravity model. The major issue in this analysis is to explore why Iran over or under-traded with the 76 countries relative to the predicted trade flows of the model. The study attempts to explore the reasons from the respect of both the model itself and Iran’s trade structure. This is done by analysing the performanc...

Regional Integration and Trade: A Panel Cointegration Approach to Estimating the Gravity Model

Using a panel data set of bilateral export flows from 12 EU countries to 20 OECD trading partners over the period 1992-2003, a panel cointegration approach to estimating the gravity model is adopted to test for the significance of European regional integration. A comparison of the results indicates that a positive and significant coefficient estimate of the EU dummy variable is found for both t...

Model Identifiability

A Model of Fractional Cointegration, and Tests for Cointegration Using the Bootstrap∗

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The si...

On martingales, causality, identifiability and model selection

We give sufficient criteria for the Doléans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are sufficiently weak to be useful and verifiable, as illustrated by several non-trivial examples, without introducing artificial constraints. In particular, they make it possible to construct nonexplosive point processes...