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...

Abstract The maritime industry is significant to the growth and development of nations. relationship between shipping trade economic in Nigeria acknowledged literature. Still, need emphasise role import export volume exchange rate volatility Nigeria’s remains. level that a nation will derive from its ocean depends on volumes face volatility. Using Vector Error Correction Model, this study analy...

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. First, we establish the consistency of the least squares estimator of the cointegrating vector allowing for both smooth and discontinuous transition between regimes. This is a nonr...

This paper investigates the lag length selection problem of a Vector Error Correction Model (VECM) by using a convergent information criterion and tools based on the Box-Pierce methodology recently proposed in the literature. The performances of these approaches for selecting of the optimal lag length are compared via Monte Carlo experiments. The effects of misspecified deterministic trend or c...

Prediction of economic variables is a basic component not only for economic models, but also for many business decisions. But it is difficult to produce accurate predictions in times of economic crises, which cause nonlinear effects in the data. Such evidence appeared in the German automobile industry as a consequence of the financial crisis in 2008/09, which influenced exchange rates and a...

in this study, the relationship between inflation and economic growth of iran is conciliated with a perspective on uncertainty of inflation. we use a generalized autoregressive conditional heteroskedasticity (garch) model that make possible this advantage that conditional variance of error term changes along the time, also, vector error correction model (vecm) is stable. for surveying the co-in...

in this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in zanjan province of iran. for this purpose, a two-regime threshold vector error correction model (tvecm) and a sup-lm test developed by hansen and seo (2002) were employed for checking presence of a threshold effect. application of unit root tests indicated t...

Any research or policy analysis exercise in economics must be consistent with the timeseries properties of observed macroeconomic data. This paper discusses in detail the specification of a six-variable vector error-correction forecasting model. We test for cointegration among those variables: the CPI, the implicit price deflator for GDP, real money balances (M1), the federal funds rate, the yi...