This study investigates the causal nexus between public expenditure and economic growth in India using cointegration approach and error correction model. The analysis was carried out over the period 1973 to 2012. The Cointegration test result confirms the existence of long-run equilibrium relationship between public expenditure and economic growth in India. The empirical results based on the er...

A new approach to cointegration developed by Enders et al. (Cointegration tests using instrumental variables with an example of the U.K. demand for money. Unpublished working paper. http://wenders.people.ua.edu/time-seriesmethods.html, 2008) is applied to long-span, high-frequency data to test for purchasing power parity in the Mexico–US real exchange rate. Overall the empirical results suggest...

This paper attempts to take a meticulous look on stability of money demand in India Using annual data for period 1953-2007 and the Hansen (1992) and Gregory Hansen (1996) co-integration approaches with structural break. Results of the Gregory Hansen (1996) cointegration analysis show the presence of cointegration in demand for money, real GDP and nominal interest rate with structural break at 1...

This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p–values from a single–equation residual–based test (i.e. ADF or Ẑα) with a system– based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data generating processes under the null or ‘near’ it, the two types of tests can yield virtually any combination of p–value...

In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointegration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate these moments by simulating a certain stati...

The purpose of this research is to study empirically the dynamics of obesity in Finland and provide empirical evidence of temporal causality between obesity, health expenditure, unemployment, urbanization, alcohol consumption and calorie intake. The paper employs bounds testing cointegration procedure and augmented causality tests. The empirical results suggest the existence of cointegration am...

Johansen’s reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect....

------------------------------------------------------------------------------------------------------------------Abstract: This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do not require a choi...

This study employs auto-regressive distributed lag (ARDL) bounds approach to cointegration for long run and errorcorrection modeling (ECM) for short run analysis to examine the relationship between revenue gap and economic growth for Pakistan using annual time series data over the period 1980 to 2008. The short and long run results indicate that revenue gap is statistical significant and negati...

Many researchers have used a cointegration approach to test for the Fisher effect. This note argues that the cointegration of the nominal interest rate and the inflation rate is consistent with any theory implying a stationary real interest rate and so is not a sufficient condition for ex post the Fisher effect to hold. The sufficient condition is the unpredictability of the inflation forecast ...