Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship to causality, and his later stunningly influential work on common trend modeling (cointegration) and vol...

We used unit root and cointegration techniques to determine the long run relationship between GDP and investment for 90 countries using data from World Bank for the period 1960-1992. In the first step of our analysis we found GDP and investment integrated of different orders for 33 countries. Second step of our analysis shows no cointegration between GDP and investment for 25 countries and coin...

a r t i c l e i n f o Keywords: Fractional cointegration Long memory Range Volatility Daily high and low prices This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employ...

a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...

In an economy where agents hold money, the short interest rate determines the trade-off between money holdings and consumption. Building on this idea, we develop a theoretical model that shows the transmission mechanism through which the short rate finds its way to stock-return predictability regressions. We construct a cointegration relation that links share prices and dividends to the short i...

To understand the general relationship between Energy Conservation and Emissions Reduction (ECER) policy means coordination (PMC) and economic growth, this paper quantitatively investigates the impact on economic growth of differing PMCs. ECER policies from 1978 to 2013 in China are quantified across two dimensions of policy power and policy means, and then, PMC degrees are designed as independ...

This article pursues two tasks. The first is to clarify the value and productivity of Williams’s Keywords: a vocabulary culture society (first edition 1976, second expanded 1983a) for project Cultural Studies. clarification helped, I argue, by reading it alongside Vološinov’s Marxism philosophy language (published in Russian 1929, translated into English 1973). related task speculative developm...