In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals is computationally difficult and may not be feasible for larger models. Moreover, ML estimation of V...

This paper investigates the relationship between electricity consumption and economic growth by using Autoregressive Distributed Lag (ARDL) bounds testing approach and vector error-correction models (VECM) in Cameroon, Cote D'Ivoire, Congo, Ethiopia, Gabon, Ghana, Guatemala, Kenya, Senegal, Togo and Zambia for period 1970-2010. The ARDL results show that there is cointegration relation between ...

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two-stage stochastic programming (TWOSP) decision model is formulated ...

Abstract—The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statist...

Attainment of 70 years life expectancy by 2020 is one of the millennium development goals in Nigeria. This study examined the socio-economic determinants of life expectancy in Nigeria using data from 1980-2011. Judging from the endogeneity feature of the variables, A VAR and VECM frameworks were employed. Socio-economic features were proxy by secondary school enrolment, government expenditure o...

In this paper, for the first time, we investigate relationship between infrastructure and sectoral distribution of FDI inflow in China. We use Estimating Autoregressive Distributed Lag (ARDL) bound testing Vector Error Correction Model (VECM) procedures estimation. To unmask shortcomings previous literature, a composite index with more than 30 indicators. The results show that there is long-run...