By undertaking a cointegration analysis with annual data over the period 1985~2005 in China, the estimation results show that there is cointegration relationship between electrical energy consumption and economic growth taking into account industry structure changes and technical efficiency. The model shows that three explanatory variables, the GDP per capita, heavy industry share and efficienc...

In the process of cointegration analysis, electricity consumption is chosen as the explained variable, and GDP per capita, heavy industry share, and efficiency improvement are chosen as the explanatory variables; then a cointegration model is put forward, which shows that there is a cointegration relationship between the explained variable and explanatory variables. The explained and explanator...

We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...

This paper examines aggregate money demand relationships in five industrial countries by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Fractional cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero, i.e. that the error cor...

In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, ...

We "spatialize" residual-based panel cointegration tests for nonstationary spatial panel data in terms of a spatial error correction model (SpECM). Local panel cointegration arises when the data are cointegrated within spatial units but not between them. Spatial panel cointegration arises when the data are cointegrated through spatial lags between spatial units but not within them. Global panel...

With the purpose of analyzing non-stationary time series, this paper innovates the nonlinear cointegration discriminate analysis by introducing support vector machine and innovated feature-weighting model to overcome existing limitations of two methods, that is, the statistical approach and the neural network used by the nonlinear cointegration theory. Then, the application of the innovated met...

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the sample size. Typical examples include tests for unit roots in panels where the units are linked by complicated dynamic relationships. It is well known that conventional cointegration tests based on a parametric (vector autoregressive) representation of the system break down if the...

This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...