A critical review of cointegration is presented in this paper, emphasizing some limitations of this approach to testing causal relations in Econometrics. We present an application of cointegration tests to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries, during the period 1960-97, and the results confirm those limitations and the convenience of giving mo...

This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...

abstract in this study, we applied recently developed panel unit root and cointegration techniques to examine the long-run real income per capita and price elasticities for demand of electricity in selected middle east and north african (mena) countries using an annual data series from 1990 to 2011.our main finding from the panel analysis is that the demand for electricity is highly price elast...

By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching. JEL Classification: C11, C22.

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...

Quantile regression has important applications in risk management, portfolio optimization, and asset pricing. The current paper studies estimation, inference and …nancial applications of quantile regression with cointegrated time series. In addition, a new cointegration model with varying coe¢ cients is proposed. In the proposed model, the value of cointegrating coe¢ cients may be a¤ected by th...

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...

t his paper investigates the asymmetric behavior of inflation. we use logistic smooth transition autoregressive (lstar) model to characterize the regime-switching behavior of iran’s monthly inflation during the period may 1990 to december 2013. we find that there is a triple relationship between the inflation level, its fluctuations and persistence. the findings imply that the behavior of infla...

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...

In this paper we introduce a class of nonlinear data generating processes (DGPs) that are "rst order Markov and can be represented as the sum of a linear plus a bounded nonlinear component. We use the concepts of geometric ergodicity and of linear stochastic comovement, which correspond to the linear concepts of integratedness and cointegratedness, to characterize the DGPs. We show that the sta...