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This paper investigates the all important issue of diagnostic tests, including unit roots and cointegration, in the tourism demand modelling literature. The origins of this study lie in the apparent lack in the tourism economics literature of detail concerning the diagnostic test aspect. Study of this deficiency has suggested that previous literature on tourism demand modelling may be divided into two categories: the pre-1995 and post-1995 studies. It was found that the pre-1995 and some post-1995 studies have ignored unit root tests and co-integration and, hence, are vulnerable to the so-called ‘spurious regression’ problem. In highlighting the key diagnostic tests reported by post-1995 studies, this paper contends that there is no need to report the autoregressive conditional heteroskedasticity (ARCH) test, which is applicable only to financial market analysis where the dependent variable is return on an asset. More generally, heteroskedasticity is not seen as a problem in time-series data. However, the reporting of a greater than necessary range of diagnostic tests — some of which do not have any theoretical justification with regard to tourism demand analysis — does not diminish the precision of the results or the model. This paper should appeal to scholars involved in tourism demand modelling. Copyright © 2003 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Summary: This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (American Economic Review, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money‐income ratio during the period of near‐zero interest rates is captured well by the log–log specification but not by the semi‐log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980–2013 period is about one‐tenth that of Lucas's paper published in 2000, which used a log–log specification. Finally, neither specification satisfactorily fits post‐2015 US data. [ABSTRACT FROM AUTHOR]

This paper analyses the dynamics of financial deepening and the volatility of business cycle in the United Arab of Emirates (UAE). We use cointegration tests of regime‐shift with one and two endogenous structural breaks, respectively, using Gregory and Hansen, Oxford Bulletin of Economics and Statistics, 1996, 58, 555–560 and Hatemi‐J, Empirical Economics, 2008, 35, 497–505 approaches. The asymmetry in the underlying relationship of the concerned variables are examined following NARDL model over the period 1974–2016. The findings suggest the presence of regime shifts in the cointegrating relationship and asymmetry between growth volatility and financial deepening. Furthermore, the paper provides evidence of a significant difference in the response of business cycle to negative or positive changes in the financial deepening, which are more pronounced in the short run. Therefore, the obtained asymmetry suggests that business cycle responses are quick and adverse to changes in the financial system in the UAE. The empirical findings of this paper have potential policy implications in this emerging country that is aiming to establish an international reputation in its financial market and become a regional financial hub. [ABSTRACT FROM AUTHOR]

The goal of this paper is to examine the relationship between inflation and inflation uncertainty for Turkey through monthly data spanning the period 2004:01–2019:12. To this end, the paper first builds the inflation uncertainty series using inflation data. Second, it examines the cointegration relationship between inflation and inflation uncertainty. Finally, it searches for causal relationships between inflation and inflation uncertainty. The paper employs econometric methods which explicitly consider structural breaks. After examining the inflation–inflation uncertainty nexus for the whole sample, the analysis also investigates this relationship in two subperiods, i.e., 2004:5–2010:10 and 2010:11:2019:12 considering the change in the monetary policy framework of the Central Bank of the Republic of Turkey (CBRT). The findings provide evidence that there exists unidirectional causality running from inflation to inflation uncertainty for both the whole sample and the second subperiod, while there is no causality between inflation and inflation uncertainty for the first subperiod. Overall, the results show that during the second subperiod (i) when the CBRT tried to achieve not only price stability, but also financial stability and (ii) when the inflation rate is more volatile and higher, the increase in the inflation rate results in an increase in inflation uncertainty. [ABSTRACT FROM AUTHOR]

Theoretical predictions of the effect of technological change on employment are ambiguous and depend on the extent to which new technology is embodied in new jobs. This paper separates positive and negative shocks and examines the extent to which technological shocks have an asymmetric effect on unemployment in nine European countries by using hidden cointegration analysis within a likelihood‐based panel framework. The findings are consistent with the hypothesis that technological changes have had an unequal effect on unemployment because negative and positive shocks have different impacts on unemployment in terms of sign and size. It is interesting to note that women appear to be the group most negatively impacted by technological shocks. The estimates also show that the results are inconsistent because technological advancement has resulted in 'creative destruction' in four countries while 'creative creation' has occurred in five of them. It is worth mentioning that the methodological framework utilized in this paper can be a useful tool for predicting the behaviour of technological shocks. Policy implications are discussed. [ABSTRACT FROM AUTHOR]

Summary: The modular multilevel converter (MMC) is a novel prospective multilevel converter topology for high‐voltage or high‐power applications. This paper presents the 3‐ Φ model integrated into a linear model in transient analysis and the design of current controller for MMC. This paper analyzes the control interactions of MMC on nearby turbine generator. The eigenvalue analysis is used to evaluate the impact of different controller modes of MMC. The impact of converter control with nonlinear switches is analyzed through the transient simulation. The eigenvalue analysis and controller design are carried out on a linear model, and the transient simulation analysis is performed on both the D‐Q model and a three‐phase model of MMC using MATLAB‐Simulink. The results show that the transient simulation of three‐phase model on the proposed approach is consistent with the transient simulation of D‐Q model. Also, the transient simulation results show a satisfactory response with the current controller parameters of the MMC at various operating cases. To validate the results of MATLAB‐Simulink model, the proposed system is implemented in hardware‐in‐the‐loop (HIL) simulation with an integrated subsystem built in two real‐time simulators. The subsystem of mathematical model is implemented in dSPACE, and the subsystem of 3‐ Φ MMC with controller is implemented in Typhoon. The HIL simulation results show a satisfactory response and consistent with MATLAB‐Simulink model results. [ABSTRACT FROM AUTHOR]

Current account deficit poses a serious threat for a country's macroeconomic stability despite the fast economic growth. The primary objective of this paper is to explain and critically examine the determinants of current account deficit across seven South Asian countries using yearly data for 1980–2016 period. This paper employed several econometric techniques such as cross‐sectional dependence to see if shocks that occur in one country affect another, panel unit root test to check the stationary of the data and Panel cointegration test to check long‐run relationship among the variables. This study also implemented Continuously Updated estimation procedure given to estimate long‐run coefficients. The findings suggest that an appreciation of real effective exchange rate leads to a reduction in current account deficit, contrary to popular belief. The analysis also reveals that financial development, trade openness, fiscal balance and population growth have positive and significant relationship with current account deficit in South Asia but net foreign asset negatively affects current account deficit. This study, therefore, has several policy implications for South Asian countries. [ABSTRACT FROM AUTHOR]

Energy is pivotal for sustainable economic growth. Undoubtedly, the role of the composition of the export basket (measured as economic complexity) is one of the crucial variables influencing energy consumption. Despite its importance, the existing body of literature does not intensively study the relationship between economic complexity and total energy consumption. Therefore, this study's primary aim was to examine the effect of economic complexity on energy consumption in a case study of 21 developed and 44 developing countries for the period 1971–2014. In this context, economic complexity expresses the level of sophistication of a country's export basket. This paper considers energy prices and income as explanatory variables in Durbin‐H panel cointegration analysis and applies a cointegration test with structural breaks to check for the long‐run relationships. For the long‐run estimations, we employ the augmented mean group method and dynamic seemingly unrelated regression. The findings reveal that economic complexity increases energy consumption in developing countries while it decreases energy consumption in developed countries. This is an important insight for countries concerned about their energy dependence. The diversification of their production and export baskets can reduce energy needs. The paper finally presents policy recommendations based on the empirical estimates. [ABSTRACT FROM AUTHOR]

This article presents a note from the authors about the papers submitted for the special issue of this journal. The papers were originally submitted at the "Frontiers in Time Series Analysis" in Olbia, Sardinia, in May 2005. The papers in this issue address specific topics that were discussed at the conference: "panel cointegration," "structural breaks," "VAR models and cointegration," "volatility" and "nonlinearity." The authors summarize the papers included in the issue and they also acknowledge the people who helped collect and judge the papers.

This paper empirically investigates the Gibson Paradox and the Fisher Effect for the UK during different metallic and non‐metallic regimes. The paper applies long‐span monthly data on the long‐term interest rate and the price index from 1790 to 1931. The ARDL cointegration is employed to study the long‐term relationship. Significant evidence is provided for the paradox during the uninterrupted gold standard era of the UK (1821–1914). We also find evidence of the paradox during the short‐term gold exchange standard era (1925–1931). Further results also confirm the Fisher Effect during the 1821–1914 period, providing some backing to its ability to explain the paradox. This is further asserted by the short‐run mutual influence between the rate of interest and the inflation rate. [ABSTRACT FROM AUTHOR]

Summary: Cointegration has shown useful for modeling non‐stationary data with long‐run equilibrium relationships among variables, with applications in many fields such as econometrics, climate research and biology. However, the analyses of vector autoregressive models are becoming more difficult as data sets of higher dimensions are becoming available, in particular because the number of parameters is quadratic in the number of variables. This leads to lack of statistical robustness, and regularisation methods are paramount for obtaining valid estimates. In the last decade, many papers have appeared suggesting different penalisation approaches to the inference problem. Here, we make a comprehensive review of different penalisation methods adapted to the specific structure of vector cointegrated models suggested in the literature, with relevant references to software packages. The methods are evaluated and compared according to a range of error measures in a simulation study, considering combinations of low and high dimension of the system and small and large sample sizes. [ABSTRACT FROM AUTHOR]

This paper investigates the determinants of medium to long‐run real exchange rate volatility in South Africa over the period 1986–2015. The main objective of the paper is to analyse the impact of trade openness on real exchange rate volatility following conflicting results offered by empirical studies. Employing the Autoregressive Distributed Lag (ARDL) cointegration approach and using a variety of specifications and robustness tests, results show that trade openness has an impact on real exchange rate volatility. The interaction term of trade openness and the dummy variable for capital account liberalisation leads to a significant negative impact on real exchange rate volatility. Furthermore, findings indicate that volatility of output, commodity prices, money supply and government consumption, and the exchange rate regime significantly influence rand volatility. [ABSTRACT FROM AUTHOR]

This paper begins with a survey of recent commodity price developments that highlights the magnitude of this price surge and identifies the rapid rise in wheat prices as a key element. The analysis in this paper focuses on the extent to which domestic markets are insulated from these changes and on the resulting impacts on world prices. An econometric analysis using error‐correction models finds stable long‐term relationships between world wheat prices and most domestic prices of wheat and wheat products, but with considerable variation across countries in the rate of price transmission. A case study of the price shocks during the COVID‐19 pandemic and the Ukraine food price crisis finds that price insulation roughly doubled the overall increase in world wheat prices and raised their volatility both during periods of price increase and price decline. [ABSTRACT FROM AUTHOR]

Using U.S. post‐war data, we investigate whether the interest rate response to inflation known as the Fisher effect could be asymmetric. The asymmetry considered is that the long‐run change in the interest rate is larger when inflation rises than when it falls. The possibility follows from behavioural hypotheses about the relationship of inflation expectations to actual inflation. Using an asymmetric cointegration approach, we find asymmetric cointegration in the Fisher effect for the post‐war period through 1979, but not subsequently. We then find that starting in 1980, a breakdown developed in the relationship between inflation expectations from surveys and actual recent inflation rates, a breakdown not accounted for by asymmetry. If the survey results approximate true expectations, then econometric testing using actual recent inflation to compute expected inflation will suffer from mismeasurement, which could explain the finding of no cointegrating Fisher effect post‐1979. The paper accounts for breakpoints and uses bootstrapping to conservatively estimate statistical significance. [ABSTRACT FROM AUTHOR]

We develop a non‐parametric technique framework for estimating firm‐level Total Factor Productivity (TFP). Our paper has two major novelties: first, we propose a modelling of productivity with both firm‐idiosyncratic factors and aggregate shocks. Second, we apply the Bayesian Markov Chain Monte Carlo (MCMC) technique that offers a numerical integration of productivity outside the posterior overcoming the restrictive assumptions about the relationship between productivity and variable production inputs. We implement our methodology in a group of 4,286 manufacturing firms from France, Germany, Italy, and the UK (2001–14). The results show that: (i) aggregate shocks matter for firm TFP evolution. The global financial crisis of 2008 caused severe, albeit short, adverse effects on TFP; (ii) there is substantial heterogeneity across countries in the way firms react to changes in R&D and taxation. German and UK firms are more sensitive to fiscal changes than R&D, while the opposite is true for Italian firms. R&D and taxation effects are symmetrical for French firms; (iii) the UK productivity handicap continues for years after the financial crisis; and (iv) there are substantial knowledge spillovers among German and Italian firms. [ABSTRACT FROM AUTHOR]

The life expectancy rate is an essential yardstick for measuring people's well–being. The healthier the population, the better the economic rate of productivity. Not many studies have investigated the asymmetric link between energy use and life expectancy. Thus, this paper addresses the gap by evaluating the impact of fossil fuel (FFEC) and renewable energy consumption (RNEW) on life expectancy (LEXP) in Nigeria from 1965–2019 using the Autoregressive Distributed Lag (ARDL) and Non‐linear ARDL methods. The bounds test to cointegration confirmed the presence of long‐run association. According to the findings of the ARDL technique, FFEC and RNEW improve LEXP in the long and short‐run. In addition, the NARDL result confirms that a positive shock in FFEC and RNEW improves LEXP in the long and short‐run. This study suggests that cleaner technologies should be applied to fossil fuel sources, while the importance and use of RNEW sources should be continually promoted. [ABSTRACT FROM AUTHOR]

This paper sheds light on serious methodological difficulties of employing the empiric export equation in order to derive long‐run trade elasticities. The unreliable estimated price coefficient (Kaldor paradox) and the potential presence of cointegration are identified as the most relevant points. It can be shown that difficulties are in part due to methodological issues. New empirical evidence, encompassing 11 Euro area countries and the timespan 1995–2021, has been obtained from different cointegration techniques. In almost all cases, a robust long‐run relationship was detected. Price competitiveness was consistently found to be a decisive determinant of European trade flows. [ABSTRACT FROM AUTHOR]

Using modern panel cointegration estimation techniques, this paper examines whether tertiary student flows can effectively transmit technological knowledge from industrialized countries to African countries. The results obtained lend strong support to this hypothesis. In addition, this paper extends the analysis to include institutional variables such as the ease of doing business, legal origins, and religious majority to see if institutional characteristics have any impact on the way knowledge diffusion affecting total factor productivity (TFP). However, it is not clear that institutional differences are important factors that influence the degree of R&D spillovers and, hence, the TFP of African countries. [ABSTRACT FROM AUTHOR]

This paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000M1‐2017M3. The panel unit root and panel cointegration tests considering cross‐section dependence are also employed. A time varying panel smooth transition vector error correction (TV‐PSTRVEC) model is a developed and estimated for testing the presence of non‐linear short‐run and long‐run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long‐run causalities between oil price and stock prices are time‐dependent. Moreover, oil price cause stock prices in the long‐run. In the short‐run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time‐dependent regimes which is also supporting the recent arguments and empirical findings. [ABSTRACT FROM AUTHOR]

This paper examines the extent of integration of the Baltic stock markets with the financial markets in Western Europe. The long‐run relationships between the stock markets of the Baltic States and selected developed stock markets are studied by means of cointegration analysis on the weekly returns. For the Baltic stock markets and key indices from the European markets, the empirical results over period 2005–2015 provide clear evidence that the Baltic stock markets are integrated with the Swedish stock market, and that this cointegrating relationship implies transmission of shocks from Sweden to the Baltic States. The cointegration analysis is also conducted for rolling windows over consequent sub‐samples, which only verifies the robustness of the integration between the stock markets of the Baltic States and Sweden. Given that there is no support for the long‐term relationships between the Baltic market and euro area, it may be that Baltic markets offer diversification benefits for the euro area indices. [ABSTRACT FROM AUTHOR]

This paper shows that lagged information transmission between industry portfolio and market prices entails cointegration. We analyze monthly industry portfolios in the US market for the period 1963–2015. We find cointegration between six industry portfolio and market prices. We show that the equilibrium error, the long‐term common factor between industry portfolio and market cumulative returns, has strong predictive power for excess industry portfolio returns. In line with gradual information diffusion across connected industries, the equilibrium error proxies for changes in the investment opportunity set that lead to industry return predictability by informed investors. Forecasting models including the equilibrium error have superior forecasting performance relative to models without it, illustrating the importance of cointegration between the industry portfolio and market prices. Overall, our findings have important implications for investment and risk‐management decisions, since the out‐of‐sample explanatory power of the equilibrium error is economically meaningful for making optimal portfolio allocations. [ABSTRACT FROM AUTHOR]

In a recent study, Mejía‐Reyes, Díaz‐Carreño, and Aroca analyzed the synchronization of the business cycles of the states of Mexico. Using an extended gravitational model, they propose and test a set of variables to explain the co‐movement of those cycles. Following on from their work, this paper proposes that one variable in particular, economic complexity, not only explains the synchronization of the business cycles of Mexican states but, in fact, also does a better job at explaining it on its own than the entire set of seven variables proposed by Mejía‐Reyes et al. (2019). The paper provides a more parsimonious specification to explain the co‐movement of the states' business cycles by using a single variable that contains information on their relative productive structures. [ABSTRACT FROM AUTHOR]

The bounds testing approach to cointegration analysis is employed in this paper to examine whether the risk premium demanded by the banking sector moderates the finance–growth nexus with data (1970–2015) from South Africa. To the extent that the interaction between risk premium and financial development positively affects growth in the long run, we affirm that the risk premium demanded by the banking sector represents a significant channel through which financial development drives growth. The main policy implication of this finding is that financial liberalization that removes interest rates restrictions, allowing the banking sector to adequately price risk, is in the best interest of the South African economy. [ABSTRACT FROM AUTHOR]

Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. An important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. The focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. The procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs. [ABSTRACT FROM AUTHOR]

The environmental Kuznets curve (EKC) hypothesis assumes the nonlinear relationship between production and its environmental effects, suggesting that the negative effect of production on the natural environment is reversed at higher levels of development. In contrast to the majority of the studies, this paper considers the possibility of non‐linear effects of per capita output on agricultural land use (cropland), as one of the natural resource stocks, and additionally examines the influence of demographic and productivity variables on the agricultural land use. The study draws on panel data from 143 economies over the 1990–2019 period and employs a series of panel econometrics techniques (including panel unit root and cointegration tests, panel ordinary least squares, generalized method of moments, and panel quantile models). The results unequivocally indicate the inverted U‐shaped relationship between the GDP per capita and cropland use, as per EKC hypothesis. The results are robust with respect to employing different techniques, the identified turning points correspond to low and low‐middle‐income levels, and the effects of agricultural productivity and population density on land use are respectively negative and positive. [ABSTRACT FROM AUTHOR]

This paper examines the sustainability of the current account deficit (CAD) and validity of the intertemporal budget constraint of India for the period of 1980 to 2019. The cointegration results show that exports and imports are not cointegrated and the current account (CA) series is not mean reverting during the study period. Therefore, the results refute the sustainability of CAD and the validity of the intertemporal budget constraint in the Indian context. Furthermore, the study also emphasised the testing of the disaggregated CA and found that while the goods account is not sustainable, the services account found to be sustainable in the long run. Our findings thus indicate the potential for aggregation bias to have an impact on the overall CA sustainability results. Therefore, policies that help in achieving self‐sufficiency on the one hand and export promotion in goods on the other may eventually contribute to CA sustainability. [ABSTRACT FROM AUTHOR]

This study examines whether knowledge causes economic growth in Africa's two leading economies, Nigeria and South Africa. Using the Vector Autoregressive and Vector Error Correction approaches, the findings show cointegration among the variables. The speed of convergence of the variables to their long‐term mean values is relatively higher for South Africa than for Nigeria. In the short run, it is observed that knowledge unidirectionally Granger causes growth for Nigeria, whereas bidirectional causality is observed for South Africa. The higher correlation between knowledge and growth in South Africa reflects the success of greater investment in education. Nigeria must increase investment in education and modern infrastructure to converge to South Africa's growth trajectory. Moreover, for Nigeria, (1) knowledge unidirectionally Granger cause growth, (2) evidence of bidirectional causality flow is apparent between trade, the economic incentive, and growth, and (3) health unidirectionally Granger cause knowledge. As for South Africa (1) there is bidirectional causality between knowledge, trade openness, and growth, whereas investment and economic incentive, unidirectionally Granger causes growth, (2) investment, trade openness, and health unidirectionally Granger cause knowledge, and (3) economic incentive unidirectionally Granger cause trade openness. In conclusion, this paper argues that a transformed education system can provide the knowledge base essential for promoting and sustaining economic growth. [ABSTRACT FROM AUTHOR]

This paper investigates the extent to which interest rate spreads is associated with macroeconomic instability in Ghana. Using the Maastricht Criteria, quarterly data on inflation, budget deficit, prime rate, external debt and exchange rate were collected from 2008 to 2018 to construct a composite macroeconomic instability index. The resulting index was used to evaluate the long‐run and short‐run relationship between macroeconomic instability and interest rate spreads with the aid of the autoregressive distributed lag and bounds test approach to cointegration. The results revealed that macroeconomic instability had a positive long‐run and short‐run relationship with interest rate spreads. Non‐performing loans and loan‐to‐deposit ratio are found to be negatively related to interest rate spreads both in the short and long run, although the relationship is not statistically significant. From a policy‐oriented point of view, it is recommended that policy makers concentrate on managing macroeconomic instability as a means of boosting savings and investment. [ABSTRACT FROM AUTHOR]

This paper deals with the analysis of the relationship between CO2 emissions and temperatures. For this purpose, global CO2 emissions and four measures of global temperatures (land, land and ocean, northern and southern temperatures) are used. We used techniques based on fractional integration and cointegration. The results indicate first that the orders of integration differ in the two variables. Thus, while emissions are I(1) or I(d) with d higher than 1, temperatures display orders of integration strictly smaller than 1 and thus invalidating the hypothesis of cointegration between the two variables. Due to this, another approach is conducted where we suppose that the emissions are weakly exogenous in relation to the temperatures. The results using this approach show a significantly positive relationship between the two variables with a long memory pattern. [ABSTRACT FROM AUTHOR]

Abstract: This paper analyses currency union integration by testing whether price levels in member countries possess a common stochastic trend. The trace statistic test for cointegration proposed by (Johansen, 1995) demonstrates the presence of such a trend for most unions. A disaggregated analysis identifies a common stochastic trend for several though fewer than half of country pairs within a union. Some unions such as the Eurozone have small shares of cointegrated country pairs. Yet, the share of cointegrated country pairs is large relative to countries outside currency unions. Comparison to a control group (country pairs where one country belongs to a given union and the other country does not) indicates that the cointegration found within a currency union is a union‐specific trait and not a feature of the individual countries within the union. These results provide an alternative metric to intraunion trade for gauging the extent of currency union integration. [ABSTRACT FROM AUTHOR]

Abstract: This paper examines the legitimacy of the Purchasing Power Parity condition applied to the quantile process for 12 oil‐exporting countries: Algeria, Angola, Canada, Colombia, Indonesia, Iran, Kazakhstan, Kuwait, Mexico, Nigeria, Norway, and Russia. The application of quantile unit root inference methods to test the specification of the PPP condition in the quantile process yields limited support to the equilibrium condition. However, the application of quantile cointegration methods that estimate the equilibrium relationship between national prices and the nominal exchange rate is much more supportive of a generalized PPP condition that varies across countries and quantiles. Our empirical findings suggest that the distribution of the nominal exchange rate reflects a nonlinear equilibrium relationship between national prices that varies widely between the central and tail quantiles and is country‐specific. [ABSTRACT FROM AUTHOR]

Summary: This paper replicates the UK earnings equation using the autoregressive distributed lag (ARDL) modeling approach and the bounds test for cointegration by Pesaran et al. (Journal of Applied Econometrics, 2001, 16(3), 289–326). The findings from the narrow sense fully replicate the original results using the open‐source language R and the ARDL package. In the wide sense replication, augmented data are employed, thus extending the end period from 1997:Q4 to 2019:Q4, using an alternative measure for union power. Adopting the new dataset, this study reinvestigates the UK earnings equation, thereby providing supporting evidence of a long‐run relationship and reveals empirical findings about the long‐run effects of productivity, unemployment, tax wedge, and union power on wages. [ABSTRACT FROM AUTHOR]

In response to recent calls about the need to improve the current understanding of what drives SDG reporting, this paper analyzes the individual and joint effect of a broad array of factors on the integration of the sustainable development goals (SDGs) into the non‐financial information system. Using a sample made up of 1535 international companies for the period 2015–2017, we examine the extent to which both external and internal factors affect SDG reporting as well as the role played by two influential actors in corporate decision‐making (i.e., the CEO and the board of directors) in promoting this disclosure strategy. The results indicate that institutional pressures at the country level, firm size and incentives associated with the monitoring of financial analysts and the demands of investors, together with the specialisation and size of the board of directors are, in this order, drive the level of integration of the SDGs into the non‐financial information system. In the absence of these factors, the training of the CEO in sustainability issues is the main determinant of SDG reporting. [ABSTRACT FROM AUTHOR]

This paper examines the long-run relationship between financial globalization and economic growth in sub-Saharan Africa using panel unit root tests, panel cointegration tests and panel multivariate ECM. The study finds that the variables are stationary at first difference - I(1). Also, the results reveal that all the variables are cointegrated, that is, they are related in the long run. The results of the ECT test within the framework of panel multivariate ECM confirm the cointegration tests. The paper concludes that there is a long-run relationship between financial globalization and economic growth in sub-Saharan Africa. The paper argues that sub-Saharan African economies will benefit from the era of financial globalization in the long run in as much as the governments promote and encourage sound macroeconomic policies and strong institutions. [ABSTRACT FROM AUTHOR]

This paper uses empirical evidence to examine the causality relationship between electricity consumption and economic growth in OPEC countries by using annual data (1980-2011); this paper also utilises the panel cointegration and panel-based error correction approach models and framework. To the best of the authors' knowledge, most of the studies in this field have applied the error correction models, auto regressive distributed lag and panel data based on fixed-effect model in which coefficients obtained by these models cannot be deemed as a general finding applicable for other countries. The superiority of our article is in applying full modified ordinary least square estimation method for heterogeneous panels; our study also has stable and consistent coefficients and is also a dynamic model. Moreover, with regard to previous studies, our paper includes more countries which increase the reliability of the results. The results indicate that a long-run relationship exists between real gross domestic product ( GDP), electricity consumption and trade activities that involve export and import (control variable). The short-run results also indicate the importance of electricity consumption to economic growth and vice versa, supporting the feedback hypothesis which asserts that energy policies oriented towards improvements in electricity consumption efficiency would not adversely affect real GDP. It also apears that policies for energy efficiency have no statistically significant impact on economic growth in long run. [ABSTRACT FROM AUTHOR]

This paper aims to examine whether exchange rates can predict future changes in the stock market return and in the economic performance of a country. On the basis of a revision that incorporates relative stock price and rational expectation in Dornbusch's dynamic Mundell–Fleming model, I present a model that can be used for analysing the forward‐looking ability of the real exchange rate. The model builds on the works of Campbell and Shiller (Journal of Political Economy, 95, 1987 and 1062), MacDonald and Taylor (IMF Staff Papers, 40, 1993 and 89) and Engel (American Economic Review, 106, 2016 and 436) which can also be converted into a forward‐looking version of real exchange rate misalignment model to investigate whether the deviation of the real exchange rate from its fundamental value would contain an economically significant predictable component on forecasting the future stock price movement and the real output. [ABSTRACT FROM AUTHOR]

Human systems integration (HSI) is commonly thought as the association of human‐centered design (HCD) and systems engineering (SE). HCD relies on human‐in‐the‐loop simulation (HITLS) and artificial intelligence (AI). In addition, AI and SE terminologies, methods, and tools should be harmonized in the context of human‐machine teaming (HMT). Evolutions from singleagent to multi‐agent approaches in AI, and from isolated‐system to system‐of‐systems in SE are comparable. System and agent representations commonly apply to humans and machines. They are defined by their structures and functions. Based on research currently developed on HCD of increasingly‐autonomous complex systems, this paper uses the Orchestra metaphor model that supports HMT organization design and management, based on: domain ontology (music theory); tasks and designers (scores and composers); activity and performance coordination (conductors); human/machine operators (musicians); end‐users and consumers (audience). This approach requires elicitation, understanding and mastery of new interdependences, co‐adaptation, and integration of agents' emerging functions using HITLS. [ABSTRACT FROM AUTHOR]

This paper provides a comprehensive analysis of the interest rate pass‐through of euro area monetary policy to retail rates outside the euro area, contributing to the literature on the consequences of unofficial financial euroization and on the transmission channels of monetary policy spillovers. The results suggest that in the long run, more than the one‐third of all euro retail rates in euroized countries of central, eastern, and south‐eastern Europe is linked to the euro area shadow rate. Compared with euro area monetary policy, the share of cointegration of the domestic monetary policy rate is on average lower, suggesting that domestic central banks in euroized countries with independent monetary policy can only partially control the "euro part" of the interest rate channel. Furthermore, euro area monetary policy shocks are fast and persistently transmitted into euro retail rates outside the euro area, which constitutes an additional channel of international shock transmission. [ABSTRACT FROM AUTHOR]

Studies that explore the relationship between financial innovation and the stability of money demand in Africa use the indirect measure of financial innovation. Previous studies on Nigeria also ignored total monetary aggregates (M3), despite its importance to monetary policy formulation and liquidity management. This paper contributes to the existing literature in two ways; first, we expand the generic money demand function to include the direct measure of financial innovation. Second, we test the model on Nigeria using a broader definition of money demand—narrow money (M1), broad money (M2) and total monetary aggregates (M3). We employ the Pesaran et al. (2001) autoregressive distributed lag (ARDL) bounds test approach to cointegration in estimating the respective equations and find evidence of a long‐run relationship between money demand and financial innovation. The CUSUM and CUSUM‐of‐Squares tests reveal stable money demand across the three measures of money demand, which indicates that the inclusion of financial innovation has not altered the long‐run stability of money demand in Nigeria. [ABSTRACT FROM AUTHOR]

Different dimensions abound to examine the famous Feldstein–Horioka Puzzle. However, after intense discussions of the subject matter for more than three decades, researchers are yet to reach consensus on the validity or otherwise of savings–investment relationship. In this paper, we revisited the Feldstein–Horioka saving‐investment puzzle, and augment their investment equation with factors that drive capital mobility, such as globalization, foreign direct investment, and urbanization using more recent annual frequency time series data over the periods 1981–2018 in the case of Nigeria. We employed unit root test with structural breaks/regime shifts inherent in time series data and Autoregressive Distributed Lag Bounds Testing for co‐integration of empirical estimates. Results show existence of a long‐run equilibrium relationship among variables. Domestic savings, real income, and foreign direct investment reveal positive impact, while globalization and urbanization exhibit negative impact on domestic investment both in the short and long run. We find strong capital mobility among savings–investment relationship, thus render potential policy suggestions that would drive domestic investment and bring about sustainable economic growth in the long run. [ABSTRACT FROM AUTHOR]

In order to fulfill the stressed minimum capital requirement recently implemented by the Basel III Accord, this paper proposes a risk-based approach to integrate the change of macro-financial environments in which financial institutions operate into the modeling of the new required capital charge. Particularly, using a variety of regime-switching models, I characterize the stressed minimum capital requirement from high risk regimes which are associated with economic recessions and crises. The empirical results show that the proposed approach leads to capital charges 2–3 times higher than those estimated under Basel II Accord, so as to discourage excessive risk taking and hence stabilizing banks' balance sheets. Among competing models, the regime-switching GJR − GARCH model spends the highest proportion of the out-of-sample time in the green zone, which results in the lowest penalties. The results are robust to subsamples. [ABSTRACT FROM AUTHOR]

Government policy has placed increasing emphasis on the need for robust labour market projections. The job vacancy rate is a key indicator of the state of the economy underpinning most monetary policy decisions. However, its variation over time is rarely studied in relation to employment variations, especially at the sectoral level. The present paper assesses whether changes in the number of vacancies from quarter to quarter are a leading anticipator of employment variation in certain economic sectors over the previous decade in Italy, using multivariate time‐series tools (the vector autoregressive and error correction models) with Eurostat data. As robustness checks for integration order and cointegration, we compare traditional critical values with those provided by response surface models. To the best of our knowledge, no previous study has evaluated this relationship using Italian data over the last decade. The results demonstrate that percentage changes in numbers employed (occupied persons) react to percentage changes in vacancies (one‐quarter lagged), but not vice versa, indicating that variations of vacancies are weakly exogenous. The fastest short‐term adjustment from disequilibrium is seen in the construction industry, whereas the manufacturing and the information and communication technology sectors demonstrate the strongest long‐run relationships among variations. This suggests that the matching rates – the likelihood that a vacancy is filled – are higher for these than for other sectors, as a result of developments in recruitment technology for professional figures of such industries. [ABSTRACT FROM AUTHOR]

This paper investigates the association among energy consumption, carbon‐dioxide emission, and India's economic growth along with supplemental variables including foreign direct investment, population density, inflation, and agricultural land. An autoregressive distributive lag model is applied over annual time‐series data from 1985 to 2019. Further, the robustness and novelty of the model are confirmed by applying fully modified ordinary‐least‐square, dynamic ordinary‐least‐square, canonical co‐integrating regression, variance decomposition, and impulse response function. The analysis results indicate that a cointegration association exists among variables. In the short run, the profound determinants of economic development are energy consumption, carbon‐dioxide emission, inflation, and agricultural land. In the long run, both inflation and agricultural land significantly negatively influence economic growth while carbon emission drives a positive impact. Interestingly, a one‐way Granger causality runs from economic growth towards energy consumption, carbon emission, and agricultural land. The new research presents a comprehensive understanding of economic growth indicators, aiding policymakers, and advancing existing literature. Consequently, as a recommendation, the policymakers should constitute explicit goals for renewable energy consumption to stimulate sustainable economic growth with carbon emission reduction. [ABSTRACT FROM AUTHOR]

The contribution of different agricultural subsectors to economic growth in Nigeria is investigated and further suggests policy implications for investing in each of these subsectors. To this end, Johansen cointegration test and Gregory–Hansen test for cointegration with regime shift, vector error correction model (VECM), dynamic ordinary least squares (DOLS), fully modified ordinary least squares (FMOLS), Granger causality, and frequency domain causality test are employed for data from 1981 to 2016. This paper further highlights the long and causal dynamics between the selected agricultural subsector, namely forestry, crop production, fishery and livestock, and economic growth. Findings from time and frequency domain causality tests indicate a one‐way causality running from various subsectors of agriculture to economic growth in Nigeria, meaning how various subsectors of agriculture are important for predicting economic growth. In addition, there is 54% speed of adjustment from the error correction model, suggesting a need for diversification of the economy into the agricultural sector as a means for sustainable economic growth in the face of the continuous plunge in the global oil price. In the long‐run, the effect of forestry, crop production, and fishery on economic growth is statistically significant and positive. These outcomes have inherent policy implication(s), which are elucidated in the concluding section. [ABSTRACT FROM AUTHOR]

Coprime array can provide high degrees of freedom by using difference–sum co‐array under the same physical sensors, and can estimate the source under uncertain conditions. A special coprime array structure is proposed in this paper. Its difference–sum co‐array can improve the degrees of freedom. Finally, the proposed array structure estimation is used for direction‐of‐arrival. Simulation results and analysis show that the proposed array structure can effectively improve the accuracy of direction‐of‐arrival estimation. Under the same signal‐to‐noise ratio and snapshot number, it has lower root mean square error and higher estimation accuracy than other methods. [ABSTRACT FROM AUTHOR]

The main objective of this paper is to use the balance of payment constraint growth model to examine the major determinants of income growth in South Korea, emphasizing the importance of exports, capital inflows, and relative prices. The autoregressive distributed lag approach to cointegration is employed to specify the short‐ and long‐run determinants of income growth. The main empirical results suggest that beside the growth in exports, which is the emphasis of the export‐led growth models, growth in capital inflows and relative prices have also played important roles in the growth process in South Korea. A formal test of the model confirmed the validity of the results. We also found that growth in capital inflows has the greatest effect on income growth in South Korea. [ABSTRACT FROM AUTHOR]

This paper investigates the impact of policy shifts on disaggregated health expenditure-GDP relationship in Australia. In contrast to previous studies the disaggregation is at the level of type of service delivered and not at the level of source of expenditure. Our results show that the subcomponents of health expenditure exhibit different patterns of behaviour at both cointegration and unit root stages once policy shifts or structural breaks are allowed in the empirical analysis. When the possibility of structural break is allowed we find a significant long-run relationship between subcomponents of aggregate health expenditure and GDP that is not observed when break is not allowed. The underlying reasons for the occurrence of breaks and policy lessons are discussed subsequently. [ABSTRACT FROM AUTHOR]

This paper expands on air travel accident research by examining the relationship between air travel accidents and airline traffic or volume in the period from 1927–2006. The theoretical model is based on a representative airline company that aims to maximise its profits, and it utilises a fractional integration approach in order to determine whether there is a persistent pattern over time with respect to air accidents and air traffic. Furthermore, the paper analyses how airline accidents are related to traffic using a fractional cointegration approach. It finds that airline accidents are persistent and that a (non-stationary) fractional cointegration relationship exists between total airline accidents and airline passengers, airline miles and airline revenues, with shocks that affect the long-run equilibrium disappearing in the very long term. Moreover, this relation is negative, which might be due to the fact that air travel is becoming safer and there is greater competition in the airline industry. Policy implications are derived for countering accident events, based on competition and regulation. [ABSTRACT FROM AUTHOR]

Abstract: As in international tests of purchasing power parity, panel unit root tests have been successful in rejecting a unit root process in U.S. city relative prices over the period 1918–1997. However, there is an empirical question of what the rejection of a ‘panel unit root’, particularly with respect to real exchange rates, means. This paper employs a variety of univariate unit root and cointegration tests which have recently come to the fore. These tests improve the power and reduce size distortion found in standard unit root and cointegration tests such as the Dickey–Fuller and Phillips–Perron tests. I find considerable evidence for rejecting a unit root process in the majority of U.S. city relative prices over the entire sample period and two subperiods. Less successful are stationarity tests conducted on regions of the U.S. [Copyright &y& Elsevier]