Abstract This paper proposes an alternative estimation method for cointegration, which allows variation in the leads and lags cointegration relation. The is more powerful than a standard method. Illustrations to annual inflation rates Japan USA seasonal quarterly consumption income shows its ease of use empirical merits.

This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger caus...

background : because of the rapid aging rate, the share of health expenditure in gross domestic product rises irreversibly and increases concern among politicians and the general public. the aim of this study was to examine the accuracy of the baumol’s model of unbalanced growth in iran over the period 1981-2010. methods : this theoretical-analytical study was conducted in 2012 to investigate t...

this paper investigate iranian tourism demand to malaysia using the recently developed autoregressive distributed lag (ardl) ‘bound test’ approach to cointegration for 2000:q1 to 2013:q4. the demand for tourism has been explained by macroeconomic variables, including income in iran, tourism prices in malaysia, tourism price substitute, travel cost and trade value between iran and malaysia. in a...

The present study investigates the cointegration relationships among crude oil price, domestic gold price and selected financial variables (exchange rates and stock price indices) in India. Increasing crude oil prices will increase the production costs which will affect cash flow and will decrease stock prices. Investors are showing fewer concerns in the stock markets and investing in yellow me...

In this paper, we used the methods of cointegration and granger causality estimation to test the relationship between China’s coal consumption and real GDP based on the data of 1978~2010, the results show that the real GDP and coal consumption have no granger causality, and do not have a long run cointegration, which is different from the existing discovery. Because of following reasons, first ...