Cointegration is an important topic for timeseries, and describes a relationship between two series in which a linear combination is stationary. Classically, the test for cointegration is based on a two stage process in which first the linear relation between the series is estimated by Ordinary Least Squares. Subsequently a unit root test is performed on the residuals. A well-known deficiency o...

Intercept and deterministic trend functions are known to have a substantial effect on cointegration analysis, and notably on the asymptotic distributions of various test statistics. In this paper we propose a unifying approach to the analysis of cointegrated vector autoregressions by allowing for a wide class of trend functions. Next, estimates of these trends are incorporated in the asymptotic...

Consanguineous marriages and their effects on human beings in light of biological effects of genetic sicknesses are discussed in many studies. Among many, the likelihood of sicknesses such as phenylketonuria, thalassemia, Landsteiner–Fanconi–Anderson’s syndrome, hemophilia and many neuro system anomalies increase drastically in countries with consanguineous marriage practices resulting in incre...

This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...

We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression err...

In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured i...

This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently...