Essays on panel cointegration

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To begin with, the stationarity of the variables is tested using 4 panel unit root tests. Lag length selection is based on Akaike information criterion AIC. Table 3 below summarise the results of the stationarity test of the ln values of the variables, in level form and in first difference respectively. It is to be noted that, as long as one of the tests rejects the null hypothesis of a unit root at the level form, but accepts same when the variable is first differenced. Therefore, the stationarity test shows that all our variables are integrated of order 1 I 1 and are thus stationary at first difference. The first differenced form is use for the VAR model to check for co integration and further, causality.
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Essays on panel cointegration testing

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[PDF] Essays on panel cointegration testing | Semantic Scholar

The variables under study must be cointegrated. To examine the effect of monetary policy on determination of coal prices in the U. The prerequisite requirement for the application of the CVAR approach is that the selected variables must be nonstationary i. Panel A of Table 1 reports the results of the. Methods and data Granger causality test Granger has been generally used to find the causality relationship between variables. This test told that if past values of a variable y significantly contribute to forecast the future value of another variable x then y is said to Granger cause x. Conversely, if past values of x statistically improve the prediction of y, then we can conclude that x Granger causes y ibid.
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HOW TO APPLY DOLS MODEL AND PANEL COINTEGRATION

This website uses cookies to collect information to improve your browsing experience. Please review our Privacy Statement for more information. Skip to Navigation Skip to Content. Employing an array of cointegration exercises for the data, he reported a positive long-run relationship between income inequality and the real income per capita in the US.
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