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...

We study a large-dimensional Dynamic Factor Model where: (i) the vector of factors F t is I ( 1 ) and driven by number shocks that smaller than dimension ; and, (ii) idiosyncratic components are either or 0 . Under (i), cointegrated can be modeled as Vector Error Correction (VECM). (ii), we provide consistent estimators, both cross-sectional size n time T go to infinity, for factors, loadings, ...

We study a large-dimensional Dynamic Factor Model where: (i) the vector of factors F t is I ( 1 ) and driven by number shocks that smaller than dimension ; and, (ii) idiosyncratic components are either or 0 . Under (i), cointegrated can be modeled as Vector Error Correction (VECM). (ii), we provide consistent estimators, both cross-sectional size n time T go to infinity, for factors, loadings, ...

The purpose of this study is to investigate the effect non-cash payment transactions on economic growth in Indonesia and see responses from supporting variables, such as velocity money price transactions. This involves a Vector Error Correction Model (VECM) analysis tool, using monthly time series data during 2009: 1 – 2017: 12. results show that instrument affects growth, especially Card-Based...

Abstract: Purpose: To determine the factors that influence SR-008 Retail Sukuk trading volume and sukuk response to economic variable shocks. Method: VAR / VECM. The variables used consisted of price yield retail sukuk, mudharabah deposit profit sharing rate, commercial bank interest rates, BI Rate, inflation, Gross Domestic Product (GDP). period is from March 2016 April 2019. Result: Show rate...

This study investigates the dynamics of fiscal policy and economic stabilization using a panel dataset from Sub-Saharan Africa (SSA) sourced World Development Indicators (WDI) between 1985 2019. The utilized vector error correction model (VECM) rather than autoregression (PVAR) after ascertaining presence cointegrating equations (existence long-run relationships). Also, both homogenous heteroge...