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Analytical Evaluation of the Power of Tests for the Absence of Cointegration

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Cited by:

  1. Chandran Govindaraju, V.G.R. & Tang, Chor Foon, 2013. "The dynamic links between CO2 emissions, economic growth and coal consumption in China and India," Applied Energy, Elsevier, vol. 104(C), pages 310-318.
  2. Barry Falk & Chun-Hsuan Wang, 2003. "Testing long-run PPP with infinite-variance returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 471-484.
  3. Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo / Working Papers 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  4. Cuma Bozkurt & M. Akif Destek, 2015. "Renewable Energy and Sustainable Development Nexus in Selected OECD Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 507-514.
  5. Shahbaz, Muhammad & Mallick, Hrushikesh & Mahalik, Mantu Kumar & Sadorsky, Perry, 2016. "The role of globalization on the recent evolution of energy demand in India: Implications for sustainable development," Energy Economics, Elsevier, vol. 55(C), pages 52-68.
  6. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
  7. Syed Abul Basher & Elsayed Mousa Elsamadisy, 2012. "Country heterogeneity and long-run determinants of inflation in the Gulf Arab states," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 36(2), pages 170-203, June.
  8. Gengenbach, C. & Urbain, J.R.Y.J. & Westerlund, J., 2008. "Panel error correction testing with global stochastic trends," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  9. Rafindadi, Abdulkadir Abdulrashid, 2016. "Does the need for economic growth influence energy consumption and CO2 emissions in Nigeria? Evidence from the innovation accounting test," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 1209-1225.
  10. Österholm, Pär, 2003. "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series 2003:21, Uppsala University, Department of Economics.
  11. Shahbaz, Muhammad & Farhani, Sahbi & Ozturk, Ilhan, 2013. "Coal Consumption, Industrial Production and CO2 Emissions in China and India," MPRA Paper 50618, University Library of Munich, Germany, revised 12 Oct 2013.
  12. Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009. "Explaining the US bond yield conundrum," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 539-550.
  13. Melo, Patricia C. & Sobreira, Nuno & Goulart, Pedro, 2019. "Estimating the long-run metro demand elasticities for Lisbon: A time-varying approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 126(C), pages 360-376.
  14. Rafindadi, Abdulkadir Abdulrashid & Ozturk, Ilhan, 2017. "Impacts of renewable energy consumption on the German economic growth: Evidence from combined cointegration test," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 1130-1141.
  15. Sudeshna Ghosh, 2019. "Environmental Pollution, Income Inequality, and Household Energy Consumption: Evidence from the United Kingdom," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-31, June.
  16. Bosupeng, Mpho, 2015. "The Export-Led Growth Hypothesis: New Evidence and Implications," MPRA Paper 77917, University Library of Munich, Germany, revised Jun 2015.
  17. Muhammad Ahad & Zaheer Anwer, 2021. "Asymmetric impact of oil price on trade balance in BRICS countries: Multiplier dynamic analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2177-2197, April.
  18. Muftah Faraj & Murad Bein, 2022. "Sustainability of Local Labour Market in South Africa: The Implications of Imports Competition from China," Sustainability, MDPI, vol. 14(12), pages 1-18, June.
  19. Frederick Wallace, 2013. "Cointegration tests of purchasing power parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 149(4), pages 779-802, December.
  20. Roubaud, David & Shahbaz, Muhammad, 2018. "Financial Development, Economic Growth, and Electricity Demand: A Sector Analysis of an Emerging Economy," MPRA Paper 87212, University Library of Munich, Germany, revised 06 Jun 2018.
  21. repec:ipg:wpaper:2014-485 is not listed on IDEAS
  22. Mallick, Hrushikesh & Mahalik, Mantu Kumar & Sahoo, Manoranjan, 2018. "Is crude oil price detrimental to domestic private investment for an emerging economy? The role of public sector investment and financial sector development in an era of globalization," Energy Economics, Elsevier, vol. 69(C), pages 307-324.
  23. Matthew Doyle & Barry Falk, 2008. "Testing Commitment Models of Monetary Policy: Evidence from OECD Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 409-425, March.
  24. Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002. "Retail Interest Rate Pass-Through - The Irish Experience," The Economic and Social Review, Economic and Social Studies, vol. 33(2), pages 223-246.
  25. Dong-Yop Oh & Hyejin Lee & Karl David Boulware, 2020. "A comment on interest rate pass-through: a non-normal approach," Empirical Economics, Springer, vol. 59(4), pages 2017-2035, October.
  26. Karsten Reichold, 2022. "A Residuals-Based Nonparametric Variance Ratio Test for Cointegration," Papers 2211.06288, arXiv.org, revised Dec 2022.
  27. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 647-681, June.
    • Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
  28. Abdulkadir Abdulrashid Rafindadi, 2015. "Could the Expanding Economic Growth and Trade Openness of the United Kingdom Pose a Threat to its Existing Energy Predicaments?," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 121-137.
  29. Elena Pesavento, 2007. "Residuals‐based tests for the null of no‐cointegration: an Analytical comparison," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(1), pages 111-137, January.
  30. Shahbaz, Muhammad & Mallick, Hrushikesh & Kumar, Mantu & Loganathan, Nanthakumar, 2015. "Does Globalization Impede Environmental Quality in India?," MPRA Paper 67285, University Library of Munich, Germany, revised 15 Oct 2015.
  31. Muhammad Shahbaz & Ijaz Ur Rehman & Ahmed Taneem Muzaffar, 2015. "Re-Visiting Financial Development and Economic Growth Nexus: The Role of Capitalization in Bangladesh," South African Journal of Economics, Economic Society of South Africa, vol. 83(3), pages 452-471, September.
  32. Game Aaron & Wu Jason, 2013. "A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 163-192, April.
  33. Abdulkadir Abdulrashid Rafindadi, 2015. "Econometric Prediction on the Effects of Financial Development and Trade Openness on the German Energy Consumption: A Startling Revelation," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 182-196.
  34. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
  35. Rosa Badillo & Jorge Belaire-Franch & Carmelo Reverte, 2010. "Residual-based block bootstrap for cointegration testing," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 999-1003.
  36. Abdulkadir Abdulrashid Rafindadi & Zarinah Yusof, 2014. "An Econometric Estimation and Prediction of the Effects of Nominal Devaluation on Real Devaluation: Does the Marshal-Lerner (M-L) Assumptions Fits in Nigeria?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 819-835.
  37. Girardi, Riccardo & Paruolo, Paolo, 2013. "Wages and prices in Europe before and after the onset of the Monetary Union," Economic Modelling, Elsevier, vol. 35(C), pages 643-653.
  38. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
  39. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
  40. Hisham Foad, 2010. "Europe Without Borders? The Effect of the Euro on Price Convergence," International Regional Science Review, , vol. 33(1), pages 86-111, January.
  41. Bosupeng, Mpho, 2015. "Exports Multiplicity and The Dutch Disease," MPRA Paper 77919, University Library of Munich, Germany, revised 2015.
  42. Hyejin Lee & Dong-Yop Oh & Ming Meng, 2019. "Stationarity and cointegration of health care expenditure and GDP: evidence from tests with smooth structural shifts," Empirical Economics, Springer, vol. 57(2), pages 631-652, August.
  43. Omar Al-Kasasbeh & Amro Alzghoul & Hasan Alhanatleh, 2022. "Empirical Analysis of Air Pollution Impacts on Jordan Economy," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 512-516, July.
  44. Clostermann, Jörg & Seitz, Franz, 2005. "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers 11, Technische Hochschule Ingolstadt (THI).
  45. Farhani, Sahbi & Solarin, Sakiru Adebola, 2017. "Financial development and energy demand in the United States: New evidence from combined cointegration and asymmetric causality tests," Energy, Elsevier, vol. 134(C), pages 1029-1037.
  46. Bruno Ferman & Cristine Pinto, 2021. "Synthetic controls with imperfect pretreatment fit," Quantitative Economics, Econometric Society, vol. 12(4), pages 1197-1221, November.
  47. Mehmet Toptas, 2015. "Determining the Underlying Reasons of License Termination and Cancellation Associated with Local Power Production in Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 468-474.
  48. Banerjee, Piyali & Arčabić, Vladimir & Lee, Hyejin, 2017. "Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market," Economic Modelling, Elsevier, vol. 67(C), pages 114-124.
  49. Christian Bayer & Christoph Hanck, 2013. "Combining non-cointegration tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 83-95, January.
  50. Ahmet Faruk Aysan & Ibrahim Guney & Nicoleta Isac & Asad ul Islam Khan, 2022. "The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison," PLOS ONE, Public Library of Science, vol. 17(1), pages 1-15, January.
  51. Habibullah, M.S. & Dayang-Afizzah, A.M., 2008. "Bordering neighbours: Testing for border effect on Malaysia's northern states and Southern Thailand," MPRA Paper 12103, University Library of Munich, Germany.
  52. Chen, Chaoyi & Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena, 2022. "Long-horizon stock valuation and return forecasts based on demographic projections," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 190-215.
  53. Nicoleta ISAC & Cosmin DOBRIN & Mehmood HUSSAN & Asad ul Islam KHAN & Alina- Andreea MARIN, 2020. "On The Ranks Of Tests Having Null Of Cointegration: A Monte Carlo Comparison," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 12(2), pages 58-69, June.
  54. Elliott, Graham & Jansson, Michael & Pesavento, Elena, 2004. "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series qt2bv7n071, Department of Economics, UC San Diego.
  55. Nasiru Inuwa & Sagir Adamu & Mohammed Bello Sani & Haruna Usman Modibbo, 2022. "Natural resource and economic growth nexus in Nigeria: a disaggregated approach," Letters in Spatial and Resource Sciences, Springer, vol. 15(1), pages 17-37, April.
  56. Frederick H. Wallace, 2017. "Purchasing power parity in Mexico since 1933," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-18, December.
  57. Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
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