We "spatialize" residual-based panel cointegration tests for nonstationary spatial panel data in terms of a spatial error correction model (SpECM). Local panel cointegration arises when the data are cointegrated within spatial units but not between them. Spatial panel cointegration arises when the data are cointegrated through spatial lags between spatial units but not within them. Global panel...

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...

Using recently developed panel unit root and panel cointegration tests and the FullyModified OLS (FMOLS) methodology, this paper estimates the impact of remittances on the economic growth of selected upper and lower income Latin American & Caribbean countries. Despite a large flow of remittances to the region, there have been relatively few empirical studies assessing the impact of remittances ...

a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...

JEL Classification: F16, F43 This study examines the impacts of CO2 emissions on economic growth of Vietnam for the period 1986-2015 by using Autogressive Distributed Lag (ARDL) model. The results reveal that there is cointegration relationship between CO2 emissions and economic growth. In the long run carbon dioxide emissions have a significant negative impact on Vietnam economic growth. There...

China has witnessed a fast economic growth in the recent two decades. However, the heavy energy exploitation seems to show a negative relation to regional economic growth. Thus, the issue is whether the energy production is a curse or blessing for the regional economic growth in China. The present study deploys a comprehensive approach to rigorously prove the validity of a proposed panel data m...

We introduce the multivariate Ornstein-Uhlenbeck process, solve it analytically, and discuss how it generalizes a vast class of continuous-time and discretetime multivariate processes. Relying on the simple geometrical interpretation of the dynamics of the Ornstein-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap co...

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for shortterm maturities, when market-specific he...