In this thesis, we study a smooth-transition type of nonlinear cointegration among a dynamic system. Base on the Logistic Smooth Transition Autoregressive (LSTAR) models, the definition of cointegration which is extended form Engle and Granger (1987)’s definition of linear cointegration is introduced. Then statistical test for linear cointegration against nonlinear cointegration is derived. The...

This paper is aimed at analyzing the interrelation between Foreign Direct Investment (FDI) and Energy Consumption (EC) in Mexico during period 1970-2014. To do that, we carry out a cointegration test Granger causality analysis. The empirical results from show stable link growth rates of FDI EC long run. While Granger’s that short run there unidirectional rate toward EC, while medium bidirection...

In recent research, Leybourne and Newbold (2003) have shown commonly employed tests of cointegration to exhibit spurious rejection when applied to independent unit root processes subject to breaks in either level or trend. In the present paper, this research is extended to consider the finite-sample properties of cointegration tests which explicitly incorporate structural change. It is shown th...

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips,1999) for cointegration to long{run money demand functions using Canadian data from 1872 to 1997. If cointegration is found, recently proposed tests by Quintos (1997) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 ...

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...

The structure of the package apt and the implementation of models for asymmetric price transmission (APT) are explained in this note. This type of economic analysis is typically time series analysis with the steps of unit root test, cointegration test, and finally error correction model. APT studies have evolved with several distinct stages: pre-cointegration, linear cointegration, nonlinear th...

The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Historically, this question has been answered by classical testing of over-identifying restrictions on the cointegration space. This paper introduces an exact finite sample Bayesian procedure to calculate the posterior probability of restrictions on ...