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Start Over Topic cointegration Publication Type Reviews
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1. AN ANALYSIS OF EXPORT PERFORMANCE AND ECONOMIC GROWTH OF MALAYSIA USING CO-INTEGRATON AND ERROR CORRECTION MODELS.

Author

Sulaiman, Muna and Md. Saad, Norma

Subjects
*EXPORTS, *ECONOMIC development, *COINTEGRATION, *ECONOMIC indicators, *INTERNATIONAL trade, *ECONOMETRICS, *COMMERCIAL policy, *ECONOMIC policy, ECONOMIC conditions in Malaysia
Abstract

This paper aims to test the relationship between export and economic growth in the Malaysian economy from 1960 to 2005. Combining production function, and international trade and development theories, a five variable model is specified and estimated by using cointegration tests and error correction model. Multivariate cointegration results revealed that there exists a single cointegrating vector in the estimated system. This means that these variables are linked together in achieving their steady state equilibrium in the long run. From the estimation of the specified model, we reported that there is a positive relationship between export and economic growth in the long run and short run at 5 percent significance level in the Malaysian economy. Besides, our results suggest that capital has positive impacts on economic growth in the short-term and long-term but labor has an impact on economic growth only in the long run. For imports, it is proven that it has a negative relationship with economic growth. [ABSTRACT FROM AUTHOR]

Published
2009
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3. BOOTSTRAP ALGORITHMS FOR TESTING AND DETERMINING THE COINTEGRATION RANK IN VAR MODELS.

Author

Swensen, Anders Rygh

Subjects
STATISTICAL bootstrapping, DISTRIBUTION (Probability theory), PROBABILITY theory, ALGORITHMS, COINTEGRATION, ECONOMETRICS, TIME series analysis, STOCHASTIC convergence
Abstract

In this paper a bootstrap algorithm for a reduced rank vector autoregressive model with a restricted linear trend and independent, identically distributed errors is analyzed. For testing the cointegration rank, the asymptotic distribution under the hypothesis is the same as for the usual likelihood ratio test, so that the bootstrap is consistent. It is furthermore shown that a bootstrap procedure for determining the rank is asymptotically consistent in the sense that the probability of choosing the rank smaller than the true one converges to zero. [ABSTRACT FROM AUTHOR]

Published
2006
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4. Cointegration, Causality, and Forecasting (Book).

Author

Giles, David E. A.

Subjects
COINTEGRATION, ECONOMETRICS, NONFICTION
Abstract

Reviews the book "Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger," edited by Robert F. Engle and Halbert White.

Published
2001