The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency ...

The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis Sami Fethi & Salih Katircioglu To cite this article: Sami Fethi & Salih Katircioglu (2015) The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis, Economic Research-Ekonomska Istraživanja, 28:1, 717-737, DOI: 10.1080/1331677X.2015.1084476 To link to th...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the likelihood ratio test statistic for finitesample bias, and iii) fitting the model over longer data sets. We...

US domestic sugar prices have been maintained substantially above world prices engendering sugar substitutes (notably high fructose corn syrup, HFCS) to be sold at a discount to sugar Ð a discount of 10 Ð 30% (Greer, 1991; USDA, 1990). Sugar substitutes have been successful in capturing as much as 42% of the US caloric sweetener market by 1984 (Leu, Schmitz and Knutson, 1987). This paper invest...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the …rst generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might ...

Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. Generalized cointegration is de…ned as the case where the cointegrating variables may be fractional di¤erences of the observed series. The concepts are applied to a model of...

A critical review of cointegration is presented in this paper, emphasizing some limitations of this approach to testing causal relations in Econometrics. We present an application of cointegration tests to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries, during the period 1960-97, and the results confirm those limitations and the convenience of giving mo...