نتایج جستجو برای: johansen co
تعداد نتایج: 333820 فیلتر نتایج به سال:
In order to complete this study on factors affecting health care expenditures, we collected the annual data from 1972 2020 in assess expenses. The time series frequently have unit root problem, which is present utilized study. It was scientifically proven by Eigen value test results that there a causal relationship between expenditures and those Johansen co-integration approach has been used ex...
This study uses the grader causality, Johansen co-integration, and error correction model tests to establish relationship between public debt on economy of Sierra Leone from 1986-2015. The economic implications using government as a drive fund expansionary fiscal policy inform policymakers consider viability government-funded projects social cost pursuing them. To achieve core objective, this a...
We respond to Sornette and Johansen’s criticisms of our findings regarding log-periodic precursors to financial crashes. Included in this paper are discussions of the Sornette-Johansen theoretical paradigm, traditional methods of identifying log-periodic precursors, the behavior of the first differences of a log-periodic price series, and the distribution of drawdowns for a securities price.
This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.
Suvi Larjavaara*, Joachim Schüz, Anthony Swerdlow, Maria Feychting, Christoffer Johansen, Susanna Lagorio, Tore Tynes, Lars Klaeboe, Sven Reidar Tonjer, Maria Blettner, Gabriele Berg-Beckhoff, Brigitte Schlehofer, Minouk Schoemaker, Juliet Britton, Riitta Mäntylä, Stefan Lönn, Anders Ahlbom, Olof Flodmark, Anders Lilja, Stefano Martini, Emanuela Rastelli, Antonello Vidiri, Veikko Kähärä, Jani R...
Czech farm-land had enjoyed considerable growth in value from 2008 to 2019. This paper identifies the main determinants of agricultural land prices variations and how these are influenced by urbanization, lease payments, subsidies. These three factors were thoroughly examined for existence a unit root using Augmented Dickey Fuller Test. The long-run relationship between elements was estimated c...
The current study examines the empirical relation between energy consumption and industrialization concerning other macroeconomic variables like as infrastructure, manufacturing, capital formation with covering period from 1975 to 2018. Johansen co-integration estimation asserts long-run association in this process. Whatever granger causality shows bidirectional electricity industrialization. C...
Considering the recent debates regarding Brexit and potential negative effects of immigrants on Italian labor market, main aim this paper is to assess impact from Italy market country using econometric techniques. Based these results, one answer exit EU (Italexit) because immigration issue provided. According a Johansen co-integration test, there was not any long-run relationship between number...
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
This paper studies the effects of increasing the frequency of observation and the data span on the Johansen cointegration tests. The ability of the tests to detect cointegration depends more on the total sample length than the number of observations. 2000 Elsevier Science S.A. All rights reserved.
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