Compared with previous research, the present work extends existing literature by considering long-run relations amongmajor international stock market indices, under different market conditions, and the implications of these relations on the implementation of statistical arbitrage strategies. The examined data contain two bust phases interrupted by a mild bullish period. Employing cointegration ...

For spatial data with a suffi ciently long time dimension, the concept of global cointegration has been recently included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we analyze the role of globally cointegrated variable relationships using German regional data (NUTS 1 leve...

Integration in the EU wheat and barley markets is studied using monthly price series for the 1980-1994 period. The methodology expands previous work on cointegration modeling by testing market integration constraints on the cointegration space; these tests are also supplemented with an evaluation of the short-run dynamics by testing for causality and calculating forecast-error variance decompos...

The main hypothesis of the paper states that banking loans to private individuals growth rate correlates with the personal consumption growth rate in Croatia. Following the Engle-Granger cointegration and Johansen cointegration approaches on yearly data samples from 1996 to 2012, we found banking loan to private individuals annual growth rate and personal consumption annual growth rate in Croat...

This paper investigates the relationship between the quarterly opinion poll lead of UK governments over the period 1955-1996, and a set of economic indicators. The hypothesis of a causal link between these variables is often debated, but there is a difficulty in testing the link by conventional econometric methods. These require either stationarity or the I(1) property, but there is strong evid...

This study employs the asymmetric threshold cointegration test suggested by Enders and Siklos (2001) and creates EC-EGARCH(1, 1)M model to investigate the pass-through of money market rate to banking retail rates in Taiwan and Hong Kong. It further explores the impact of interest volatility on interest rates. Over the period of February 1988 to December 2004, we find that the interest pass-thou...

Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models. Although the optimal tests constructed so far have asymptotic power that is indistinguishable from the power...

Recent advances in computing technology, monitoring systems, and data collection mechanisms have prompted renewed interest in multivariate time series analysis. In contrast to univariate time series models, which focus on temporal dependencies of individual variables, multivariate time series models also exploit the interrelationships between different series, thus often yielding improved forec...

This paper considers alternative methods of testing cointegration in fractionally integrated processes, using the bootstrap. The special feature of the fractional case is the dependence of the asymptotic null distributions of conventional statistics on the fractional integration parameter. Such tests are said to be asymptotically non-pivotal, and conventional asymptotic tests are therefore not ...

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is easily understood and implemented as a slight modification of the Dickey-Fuller test, although our score...