IDEAS home Printed from https://ideas.repec.org/r/zbw/sfb373/199865.html
   My bibliography  Save this item

Rank tests for nonlinear cointegration

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
  2. Chu V. Nguyen & David McMillan, 2015. "The Vietnamese lending rate, policy-related rate, and monetary policy post-1997 Asian financial crisis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1007808-100, December.
  3. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  4. Daniel Agyapong, 2014. "Stock Market Integration in West African Monetary Zone: A Linear and Nonlinear Cointegration Approach," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(5), pages 563-587, May.
  5. Davies, Andrew, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, Elsevier, vol. 15(4), pages 305-321.
  6. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  7. Ibrahim Onour, "undated". "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  8. Venus khim-sen Liew, 2009. "Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen," Economics Bulletin, AccessEcon, vol. 29(2), pages 1320-1329.
  9. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Other publications TiSEM bc68a2f2-3ca3-443c-b3ac-f, Tilburg University, School of Economics and Management.
  10. Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
  11. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
  12. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim, 2009. "Purchasing power parity in Asian economies: further evidence from rank tests for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 51-54.
  13. Juan G Brida & Bibiana Lanzilotta & Lucia I Rosich, 2021. "On the empirical relations between producers expectations and economic growth," Economics Bulletin, AccessEcon, vol. 41(3), pages 1970-1982.
  14. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2023. "Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data," Empirical Economics, Springer, vol. 64(3), pages 1399-1420, March.
  15. Juan Gabriel Brida & Bibiana Lanzilotta & Lucía Rosich, 2019. "Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting," Documentos de Trabajo (working papers) 19-28, Instituto de Economía - IECON.
  16. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
  17. Alfred Haug & Syed Basher, 2011. "Linear or nonlinear cointegration in the purchasing power parity relationship?," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 185-196.
  18. Raihan, Selim & Abdullah, S M & Barkat, Aroni & Siddiqua, Salina, 2017. "Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach," MPRA Paper 77172, University Library of Munich, Germany.
  19. Ching-Chuan Tsong, 2010. "Are Real Exchange Rates Mean Reverting in Developing Economies in Asia? A Covariate Stationarity Approach," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 397-412.
  20. Mohcine Bakhat & Klaas WŸrzburg, 2013. "Price Relationships of Crude Oil and Food Commodities," Working Papers fa06-2013, Economics for Energy.
  21. Martha A. Misas A. & Enrique L�pez E. & Carlos A. Arango A. & uan Nicol�s Hern�ndez A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 22(45), pages 10-57.
  22. Chi-Wei Su, 2012. "The relationship between exchange rate and macroeconomic variables in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 30(1), pages 33-56.
  23. Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG, 2013. "Does Wealth or Credit Effect Exist in China?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 104-114, October.
  24. Adedoyin Isola Lawal, 2023. "The Nexus between Economic Growth, Energy Consumption, Agricultural Output, and CO 2 in Africa: Evidence from Frequency Domain Estimates," Energies, MDPI, vol. 16(3), pages 1-27, January.
  25. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
  26. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
  27. Andrew Davies, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 305-321.
  28. Shahbaz, Muhammad & Shafiullah, Muhammad & Papavassiliou, Vassilios G. & Hammoudeh, Shawkat, 2017. "The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries," Energy Economics, Elsevier, vol. 65(C), pages 183-193.
  29. Ye, Yonggang & Chang, Tsangyao & Hung, Ken & Lu, Yang-Cheng, 2011. "Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(2), pages 346-357.
  30. Banerjee Anurag & Pitarakis Jean-Yves, 2014. "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 507-520, December.
  31. Ricky Chee Jiun Chia & Shiok Ye Lim & Sheue Li Ong, 2014. "Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1438-1447.
  32. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
  33. Kai Yin Woo & Shu Kam Lee & Alan T. Y. Chan, 2020. "Food price convergence in Canada: A nonparametric nonlinear cointegration analysis," Economics Bulletin, AccessEcon, vol. 40(3), pages 2361-2371.
  34. Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
  35. Anis Ochi & Yosra Saidi & Mohamed Ali Labidi, 2024. "Nonlinear Threshold Effect of Governance Quality on Poverty Reduction in South Asia and Sub-Saharan Africa: a Dynamic Panel Threshold Specification," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 4239-4264, March.
  36. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
  37. Breitung, Jorg & Taylor, A. M. Robert, 2003. "Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]," Journal of Econometrics, Elsevier, vol. 117(2), pages 401-404, December.
  38. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  39. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
  40. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
  41. Alfred A. Haug & Syed A. Basher, 2003. "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Working Papers 2003_1, York University, Department of Economics, revised Jun 2005.
  42. Ibrahim Onour, "undated". "Is the high crude oil prices cause the soaring global food prices?," API-Working Paper Series 1001, Arab Planning Institute - Kuwait, Information Center.
  43. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," JRFM, MDPI, vol. 10(1), pages 1-24, February.
  44. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
  45. Lim, Shiok Ye & Ho, Chong Mun, 2013. "Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach," Economic Modelling, Elsevier, vol. 32(C), pages 136-145.
  46. Liew, Venus Khim-Sen & Ling, Tai-Hu & Chia, Ricky Chee-Jiun & Yoon, Gawon, 2012. "On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea," Economic Modelling, Elsevier, vol. 29(2), pages 326-332.
  47. Yosra Saidi & Mohamed Ali Labidi & Anis Ochi, 2024. "Economic Growth and Extreme Poverty in Sub-Saharan African Countries: Non-Linearity and Governance Threshold Effect," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 7819-7851, June.
  48. Shu‐kam Lee & Paul Kwok‐ching Shum & Kai‐yin Woo, 2024. "Tests of goods market integration between China and African BRI countries," International Studies of Economics, John Wiley & Sons, vol. 19(2), pages 223-246, June.
  49. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
  50. Daniel Ordoñez-Callamand & Luis F. Melo-Velandia & Oscar M. Valencia-Arana, 2017. "Current Account Sustainability in Latin America Considering Nonlinearities," Borradores de Economia 987, Banco de la Republica de Colombia.
  51. Dimitris Kenourgios & Aristeidis Samitas, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  52. Dogru, Bülent & Recepoglu, Mursit, 2013. "Türki̇ye’De Hi̇sse Senedi̇ Fi̇yatlari Ve Dövi̇z Kuru Arasinda Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İli̇şki̇si̇ [Linear and Nonlinear Cointegration Relationship between Stock Prices and Excha," MPRA Paper 50505, University Library of Munich, Germany.
  53. Shiok Ye Lim & Ricky Chee-Jiun Chia & Chong Mun Ho, 2010. "Long-run Validity of Export-Led Growth: An Empirical Reinvestigation from Linear and Nonlinear Cointegration Test," Economics Bulletin, AccessEcon, vol. 30(2), pages 1182-1190.
  54. E. N. Gyamfi & E. F. Appiah, 2019. "Further evidence on the validity of purchasing power parity in selected African countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 330-343, April.
  55. Kai Yin Woo & Shu Kam Lee, 2018. "Price convergence in the UK supermarket chains: Evidence from nonlinear cointegration approach," Economics and Business Letters, Oviedo University Press, vol. 7(3), pages 115-125.
  56. Saten Kumar, 2016. "Is the US Consumer Credit Asymmetric?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(2), pages 194-215, May.
  57. Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
  58. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
  59. Sami Chaabouni & Mounir Ben Mbarek, 2024. "What Will Be the Impact of the COVID-19 Pandemic on the Human Capital and Economic Growth? Evidence from Eurozone," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 2482-2498, March.
  60. Michael L. Polemis & Mike G. Tsionas, 2019. "Bayesian nonlinear panel cointegration: an empirical application to the EKC hypothesis," Letters in Spatial and Resource Sciences, Springer, vol. 12(2), pages 113-120, August.
  61. Shafiullah, Muhammad & Miah, Mohammad Dulal & Alam, Md Samsul & Atif, Muhammad, 2021. "Does economic policy uncertainty affect renewable energy consumption?," Renewable Energy, Elsevier, vol. 179(C), pages 1500-1521.
  62. Xiao‐Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, May.
  63. Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011. "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 19-30, June.
  64. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
  65. Imad A. Moosa & Ming Ma, 2018. "Linear and Nonlinear Attractors in Purchasing Power Parity," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 149-172.
  66. Muhammad Shahbaz & Naceur Khraief & Mantu Kumar Mahalik, 2020. "Investigating the environmental Kuznets’s curve for Sweden: evidence from multivariate adaptive regression splines (MARS)," Empirical Economics, Springer, vol. 59(4), pages 1883-1902, October.
  67. Christian Bayer & Christoph Hanck, 2013. "Combining non-cointegration tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 83-95, January.
  68. Fumitaka Furuoka, 2018. "Is population beneficial to economic growth? An empirical study of China," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(1), pages 209-225, January.
  69. Su, Chi-Wei, 2011. "Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests," Economic Modelling, Elsevier, vol. 28(3), pages 845-851, May.
  70. repec:bdr:ensayo:v::y:2004:i:45:p:10-57 is not listed on IDEAS
  71. Mendonca, Gui Pedro, 2008. "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper 14648, University Library of Munich, Germany.
  72. César Castro & Rebeca Jiménez-Rodríguez, 2020. "Dynamic interactions between oil price and exchange rate," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-20, August.
  73. Mohammad Dulal Miah & Muhammad Shafiullah & Md. Samsul Alam, 2024. "The effect of financial stress on renewable energy consumption: evidence from US data," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(10), pages 26623-26646, October.
  74. Anis Ochi & Yosra Saidi & Mohamed Ali Labidi, 2023. "Non-linear Threshold Effect of Governance Quality on Economic Growth in African Countries: Evidence from Panel Smooth Transition Regression Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(4), pages 4707-4729, December.
  75. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.