The interconnectivity of global economies has created undue uncertainties in severeal domestic economies. As a result, this paper specifically investigates the trans-Atlantic transmission interest rate shocks with view to identifying any macroeconomic concern for Nigeria using Annual time series data from World Bank’s Development Indicators 2020. To achieve objectives study, various econometric...

The aim of the study is to examine impact macroeconomic variables on stock market performance in Sri Lanka. This uses yearly data collected from annual reports Central Bank Lanka for period 1990 2019. Macroeconomic used this are interest rate, inflation real exchange and money supply while All Share Price Index (ASPI) measure performance. Inflation rate found stationary at zero levels one Augme...

The objective of this research paper is to examine the effects of various economic factors on Foreign Direct Investment (FDI) inflow into Pakistan. For econometric analysis secondary data ranging from 1971 to 2005 have been used. Log linear regression model and the method of Least Square were used as an analytical tool for the empirical estimation. In addition, for time series data analysis Aug...

Malaysia and China have recently achieved spectacular economic growth where GDP per capita growth rapidly in both countries. Thus, this study examines the contribution of economic sectors to economic growth in Malaysia and China by using time series data from year 1978 until 2007. There are three economic sectors that will be analyzed, which are agricultural sector, manufacturing sector and ser...

In this paper, we derive the asymptotic distributions of AugmentedDickey-Fuller (ADF) tests under very mild conditions. The tests were originally proposed and investigated by Said and Dickey (1984) for testing unit roots in ...nite-order ARMA models with iid innovations, and are based on a ...nite AR process of order increasing with the sample size. Our conditions are signi...cantly weaker than...

This study examines the impact of Foreign Direct Investment (FDI) on agricultural sector in Ivory Coast from 1990 to 2018. Phillips-Peron tests and augmented Dickey-Fuller were employed for a unit root variables. The Johansen Cointegration test VAR used estimate stability normality. VECM analyze short-term long-term dynamics. Results reveal that FDI has negative long run relationship but signif...

F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests...

The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowi...

The paper assesses the effect of interest rate on stock prices, with emphases Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. Augmented Dickey-Fuller (ADF) test was employed establish stationarity properties or otherwise. Using Ordinary Least Squares (OLS) estimation technique Multiple Regression, results (? = – 0.891, p < 0.05) revealed an indirect asso...

In this paper we analyse the behaviour of regression-based tests for seasonal unit roots when the error process is periodically heteroscedastic. We show, using the case of quarterly data to illustrate, that the limiting null distributions of tests for unit roots at the zero and Nyquist frequencies are unaffected by the presence of periodic heteroscedastic behaviour in the error process. Tests a...