This paper examines stationarity and cointegration of health expenditure and GDP, for a sample of 21 OECD countries using data for the period 1960-1997, by applying a test battery that allows robust inference to be made on the stationarity and cointegration issue. Trend stationarity and no-cointegration are tested using new country-by-country and panel tests, not previously applied in this sett...

In this paper, we study a smooth-transition type of nonlinear cointegration among a dynamic system, in which the proposed definition nests Engle and Granger (1987)’s linear cointegration. Based on the Smooth Transition Autoregressive (STAR) models, a triangular representation for the nonlinearly cointegrated system is introduced. Furthermore, two tests for nonlinear cointegration are derived in...

The aim of this paper is to empirically investigate the determinants of tourism demand by utilizing panel data for the period of 1995-2011 from top 20 countries sending tourists to Turkey. Econometric results obtained from panel cointegration analysis show that macroeconomic factors as such income, prices, supply capacity, exchange rate and political stability play a significant role in determi...

This paper investigates the relationship between cigarette consumption per capita net disposable income, cigarette price index, and per capita expenditure for education. In this empirical analysis the Johansen cointegration test is applied in conjunction with the vector error correction model. Finally, the forecasting technique of cigarettes consumption in Greece using cointegration models is p...

A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for the cointegration vectors. Several methods for c...

Tests for cointegration are developed using multivariate M estimators. The tests are based on analyzing the singular values of the parameter estimates standardized by the covariance matrix and do not require a reduced rank estimator.  2001 Elsevier Science B.V. All rights reserved.

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...