This study looks at the dynamic relationship between the Pakistani equity market and equity markets of Group of Eight countries (G8) which includes Canada, France, Germany, Italy, Japan, Russia, UK and USA by using weekly time series data starting from June 2004 to May 2009. Multivariate Co-integration approach by Johnson and Julius (1990) shows there exists no long-term relationship between th...

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or non-stationarity tests) is one of the first attempts at putting the salesmarketing mix analysis within a multiv...

This study re-examines the long run relationship between the budget and current account deficits in an oil-dependent open economy like Nigeria using a multivariate Granger causality test within the VECM framework. This result confirmed the existence of a long run relationship between the budget and current account deficit in Nigeria, thus supporting the Mudell-Fleming theory and refuting the Ri...

Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed...

------------------------------------------------------------------------------------------------------------------Abstract: This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do not require a choi...

The paper investigates the effects of imports and foreign capital inflows on economic growth in case of Pakistan over the period of 1990Q1-2008Q4. We have applied ARDL bounds testing approach to examine the long run relationship and investigated the direction of causality by using VECM multivariate framework. Our analysis confirms the long run relationship between imports, foreign capital inflo...

This study examined the effect of demographic bonuses, unemployment, and inflation on economic growth in Jambi Province. used secondary data from Central Bureau Statistics Province during 2000-2021. The were analyzed using Vector Error Correction Method (VECM). All tests this Stationarity Test, Lag Length Criteria VAR Stability Cointegration Granger Causality VECM Estimation. results showed tha...

This study proposed an optimal model to examine the relationship between Bitcoin price and six macroeconomic variables – price, Standard Poor's 500 volatility index, US treasury 10-year yield, consumer gold dollar index. It also examined effectiveness of vector error correction (VECM) in analyzing interrelationship among these variables. The authors employed following approach: first, sampled p...