Abstract D emonetization initiative by Govt. of India in Nov-Dec, 2016 aimed at addressing the issues like black money, hoarding and overall cleansing the monetary system. This paper in this regard attempts to empirically examine the impact of demonetization drive upon the monetary system by taking data of 180 days prior to Nov, 2016. The cointegration results exhibit show a long run ...

The aim of this paper is to empirically investigate the determinants of tourism demand by utilizing panel data for the period of 1995-2011 from top 20 countries sending tourists to Turkey. Econometric results obtained from panel cointegration analysis show that macroeconomic factors as such income, prices, supply capacity, exchange rate and political stability play a significant role in determi...

This paper investigates the relationship between cigarette consumption per capita net disposable income, cigarette price index, and per capita expenditure for education. In this empirical analysis the Johansen cointegration test is applied in conjunction with the vector error correction model. Finally, the forecasting technique of cigarettes consumption in Greece using cointegration models is p...

We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Po...

The error correction model is generally thought to be isomorphic to integrated data and the modeling of cointegrated processes, and as such, is considered inappropriate for stationary data. Given that many political time series are not integrated, analysts are unable to take advantages of the error correction model’s ability to capture both long and short-term dynamics in a single statistical m...

The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency ...

The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis Sami Fethi & Salih Katircioglu To cite this article: Sami Fethi & Salih Katircioglu (2015) The role of the financial sector in the UK economy: evidence from a seasonal cointegration analysis, Economic Research-Ekonomska Istraživanja, 28:1, 717-737, DOI: 10.1080/1331677X.2015.1084476 To link to th...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the likelihood ratio test statistic for finitesample bias, and iii) fitting the model over longer data sets. We...