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## 1 Study of Common Stochastic Trend and Co-Integration in the Emerging Markets (2003)

### Citations

2572 | Statistical analysis of cointegration vectors - Johansen - 1988 |

2505 |
Co-integration and error correction: representation, estimation and testing
- Engle, Granger
- 1987
(Show Context)
Citation Context ...n two stationary series Xt and Yt (in bivariate case) can besbased on the following two equationsså = ++å+= - = p k-tk 1 0 1ksX tuYatY kt p k k bas(2)st p k p k ktkktkt vXYX å å = = -- +F++= 1 1 0 jjs=-=(3)-=-swhere p is a suitably chosen positive integer; ak’s and ßk’s, k = 0,1, … ..,p are constants; andsut and vt usual disturbance terms with zero means and finite variances. The null hypothesissthat Xt do... |

1648 | Maximum likelihood estimation and inference on cointegration - with applications to the demand for money - Juselius - 1990 |

1573 | Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autorcgrcssivc Models.” Econometrica 59(June - Johansen |

764 |
Introduction to Statistical Time Series
- Fuller
- 1996
(Show Context)
Citation Context ...anger, 1987). In other words, equations (2) and (3) shouldsbe modified asst p k p k ktkktkt uXYY ++D+D+=D å å = = -- 1-t 1 1 0 ECTdbaas(4)stvECTXYkX t p k p k ktkktt +å å +DF+D+=D - = = -- 1 1 10 hffs=-=(5)-=-swhere D is the difference operator and ECTt-1 represents an error correction term derivedsfrom the long-run cointegrating relationship between the I(1) processes Xt and Yt. This terms7scan be estimat... |

345 | Some Recent Developments in a Concept of Causality - Granger - 1988 |

319 | Developments in the study of co-integrated economic variables - Granger - 1986 |

155 | Determination of cointegration rank in the presence of a linear trend - Johansen - 1992 |

124 | Dating the integration of world equity markets
- Bekeart, Harvey, et al.
- 2003
(Show Context)
Citation Context ...er to use Johansen’s test, the above vector autoregressive process can besreparametarized and turned into a vector error correction model of the form as:stktktkt YYYYt e+DG++DG+P=D ----- )1(1111 ....s=-=(7)-=-swheresg k j i I-=P å =1 )( bsand g i j ji I-=G å =1 )( bsThe issue of potential cointegration is investigated when we compare both sides ofsequation {7}.sAs Yt ~ I(1), D Yt ~ I(0), so are DYt-i.sThis... |

47 |
Common Stochastic Trends in
- Kasa
- 1992
(Show Context)
Citation Context ...ven bystptpttt YYYY efffm +++++= --- *....** 2211s(14)sIf this is the process generating the data but an AR(1) model is fitted, says10sttt YY nfm ++= - 11 *s(15)sthen tptptt YY effn +++= -- *....* 22s=-=(16)-=-sand the auto correlations of vt and vt-k for k> 1 will be nonzero, because of the presence ofsthe lagged Y terms. Thus an indication of whether it is appropriate to fit an AR(1) model cansbe aided by... |

38 |
Applied Time Series Analysis for Managerial Forecasting
- Nelson
- 1973
(Show Context)
Citation Context ...2) process belowstttt YYY effm +++= -- 2211 **s(17)sand the above is same assttttt YYYY efffm +---++= --- )(**)( 212121s(18)sand subtracting Yt-1 from both the sides givestttt YYY eabm +D-+=D -- 111*s=-=(19)-=-swhere the following have been defineds121 -+= ffbsand a1= -f2sThis means that if the appropriate order of the AR process is 2 rather than 1, the term DYt-1sshould be added to the regression model. A ... |

37 |
Long-Run Economic Relationships
- Engle, Granger
- 1991
(Show Context)
Citation Context ...rection term)sas an additionalsexplanatory variable (Engle and Granger, 1987). In other words, equations (2) and (3) shouldsbe modified asst p k p k ktkktkt uXYY ++D+D+=D å å = = -- 1-t 1 1 0 ECTdbaas=-=(4)-=-stvECTXYkX t p k p k ktkktt +å å +DF+D+=D - = = -- 1 1 10 hffs(5)swhere D is the difference operator and ECTt-1 represents an error correction term derivedsfrom the long-run cointegrating relationship... |

36 |
Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests
- Kanas
- 1998
(Show Context)
Citation Context ... Consider a simple general AR(p) process given bystptpttt YYYY efffm +++++= --- *....** 2211s(14)sIf this is the process generating the data but an AR(1) model is fitted, says10sttt YY nfm ++= - 11 *s=-=(15)-=-sthen tptptt YY effn +++= -- *....* 22s(16)sand the auto correlations of vt and vt-k for k> 1 will be nonzero, because of the presence ofsthe lagged Y terms. Thus an indication of whether it is approp... |

34 | The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control." The Review of Economics and Statistics - Taylor, Tonks - 1989 |

15 |
MacKinley 1988. Stock market prices do not follow a random walk: evidence from a simple specification test. Review of Financial Studies
- Lo, Craig
(Show Context)
Citation Context ...residual from the fitted models. Tosilliustate how the DF test can be extended to autoregressive process of order greater than 1,sconsider the simple AR(2) process belowstttt YYY effm +++= -- 2211 **s=-=(17)-=-sand the above is same assttttt YYYY efffm +---++= --- )(**)( 212121s(18)sand subtracting Yt-1 from both the sides givestttt YYY eabm +D-+=D -- 111*s(19)swhere the following have been defineds121 -+= ... |

10 |
Basic econometrics
- Gujrati
- 2005
(Show Context)
Citation Context ... method can be illustrated by considering thesfollowing general autoregressive representation for the vector Y, which contains nsvariables, all of which are I(1),stktkttt YYYY eaaa ++++= --- ....2211s=-=(6)-=-swhere k is the maximum lag, et is assumed to be a (n x1) vector of Gaussian error terms,sand a is a (n x n) matrix of coefficients.sIn order to use Johansen’s test, the above vector autoregressive pr... |

2 |
Indentification of the long-run and the short-run structure: An application to the ISLM model
- Johansen, Juselius
- 1994
(Show Context)
Citation Context ...ionarity condition of the data series used in the study has been tested usingsAugmented Dickey Fuller Test. Consider a simple general AR(p) process given bystptpttt YYYY efffm +++++= --- *....** 2211s=-=(14)-=-sIf this is the process generating the data but an AR(1) model is fitted, says10sttt YY nfm ++= - 11 *s(15)sthen tptptt YY effn +++= -- *....* 22s(16)sand the auto correlations of vt and vt-k for k> 1... |

1 |
P (2003) Dynamic Relation between Exchnage Rate and Stock Prices – A Case for India, 39th Annual Conference paper of Indian Econometric Society also published in NSE News February 2003
- Nath, Samanta
(Show Context)
Citation Context ...ended to autoregressive process of order greater than 1,sconsider the simple AR(2) process belowstttt YYY effm +++= -- 2211 **s(17)sand the above is same assttttt YYYY efffm +---++= --- )(**)( 212121s=-=(18)-=-sand subtracting Yt-1 from both the sides givestttt YYY eabm +D-+=D -- 111*s(19)swhere the following have been defineds121 -+= ffbsand a1= -f2sThis means that if the appropriate order of the AR proces... |

1 | Short-term and long-term price linkages between the equity markets of Australia and its major trading partners - Rocca - 1999 |