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...

Bangladesh, a developing economy, contains trade deficit from her very inception. This paper makes an effort to understand the time series behavior of total export and total import of Bangladesh. Unit root tests recognize the existence of random walk in total export and total import time series. Johansen cointegration test reveals long-run equilibrium relationship between these two variables. G...

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 ...

Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models. Although the optimal tests constructed so far have asymptotic power that is indistinguishable from the power...

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...

This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p–values from a single–equation residual–based test (i.e. ADF or Ẑα) with a system– based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data generating processes under the null or ‘near’ it, the two types of tests can yield virtually any combination of p–value...