we apply the bounds testing (ARDL) approach to cointegration which is more appropriate for estimation in small sample studies. The data span for the study is from 1970 to 2002. Findings: The results indicated the impact of FDI on growth to be negative which is consistent with other past studies. Trade however was found to have significant impact on growth. JEL Classification: C32‚ F14‚ F21‚ F39‚ O11‚ O4 Keywords: Ghana‚ ARDL cointegration‚ unit roots‚ equilibrium-correction‚ FDI‚ Trade
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level so we cannot reject the null hypothesis of the existence of a co-integrating relationship. Pairwise trace statistics for all possible market pairs are reported in table 8 in the appendix. The pairwise results indicate a strong support for cointegration with 91% of the market pairs showing a long-run equilibrium relationship. Since we have established the existence of co-integrating relationships‚ the VECM can be used to estimate the parameters of interest. Table 3 below presents the results
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Lecture 5: Multivariate Models Financial Time Series‚ Spring 2015 MQF at Rutgers University Heng Sun February 24‚ 2015 1/46 Today’s Topics Vector time series basics VARMA(p‚q) Cointegration References Ruey Tsay‚ Analysis of Financial Time Series‚ Chp 8 Ruey Tsay‚ Multivariate Time Series Analysis 2/46 Vector Time Series Each observation at time t r1t r2t rt = . .. is a column vector in Rk T = [r1t ‚ r2t ‚ · · · ‚ rkt ] rkt Example of vectors of different time series
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EVIEWS DEMONSTRATION This demonstration illustrates the basic features of EViews. It represents a typical application‚ and is not meant to be a comprehensive description of the capabilities of the program. In this demonstration‚ we examine the relationship between the dependent variable‚ aggregate money demand (M1)‚ and the independent variables‚ income (GDP)‚ the price level (PR)‚ and short term interest rates (RS). The sample forecasting project takes us through the following steps:
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Business Strategy and Performance DFA’s business strategy relies on a few basic principles. First‚ and most importantly‚ markets are efficient. This is the pillar on which the firm is based and is supported by the fact that the fund does not use technical analysis to execute trades. Second‚ the firm believes in sound academic research. This research (from Fama‚ French‚ and Bonz) has directed the firm to invest in stocks below the 20th percentile in market cap and those with high book-to-market
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Data The variables of interest are oil imports to Germany‚ and temperature in Germany. The latter is used as a leading indicator for the former‚ to improve on the forecast obtained by the univariate model. Both variables are collected over a time range from January 1985 until and including December 1997‚ whereas the last year is not used for constructing the optimal forecast‚ obtained by fitting a model through the data until the end of 1996. This will enable us to forecast the year 1997 using
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Intermediate Statistics and Decision Making (CRN 27699) Eviews Manual for Lab session Lab: 2:30 – 4:40pm‚ Wednesday Venue: 3D67 Starting Eviews Steps: ➢ Click on the Start button on the taskbar ➢ Look for All programs and click on it ➢ Click on Eviews 7 folder ➢ Double click on Eviews to lunch it Eviews Window Creating a workfile and importing data Steps: ➢ Click on File in the already opened Eviews Window ➢ Click on New ➢ Double click on Workfile
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HOW FAR AND WIDE? A COINTEGRATION ANALYSIS OF TRADE OPENESS AND ECONOMIC GROWTH IN NIGERIA (1980-2011) OGUNRINOLA‚ Ifeoluwa Israel (CUGP120397) Department of Economics and Development Studies‚ Covenant University‚ Ota‚ Nigeria. ______________________________________________________________________________ ABSTRACT The study examines the relationship between trade openness and economic growth in Nigeria but focuses on how wide in terms of volume the nation should be towards foreign trade. The
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According to the cointegration analysis established in the mid-80s‚ the non-stationarity of the underlying time series does not always imply the non-stationarity of the linear combinations of these series. Hence‚ it is a prerequisite to ensure that all variables are integrated of order one in levels before employing the panel cointegration tests. Table 3 presents the results performed by Im‚ Pesaran and Shin unit root test of all variables for the four panels of economies tested in both levels
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Exchange Rate Pass - through in to Inflation: New Insights in to the Cointegration Relationship from Pakistan Abstract Understanding the impact of exchange rate movements on prices is critical from a policy perspective in order to gauge the appropriate monetary policy response to currency movements. This study assesses the extent to which the movements in exchange rate affect domestic consumer prices in Pakistan by analyzing quarterly data from 1982 Q1 to 2010 Q4. The Structural VAR (SVAR) model
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