Ethanol production in Brazil: empirical evidence based on persistence

2018 ◽  
Vol 12 (4) ◽  
pp. 566-580
Author(s):  
Carlos Barros ◽  
Luis A. Gil-Alana ◽  
Peter Wanke
Keyword(s):  
Fractional Integration ◽  
Geographical Location ◽  
Unit Roots ◽  
Total Production ◽  
Content Type ◽  
Exogenous Shocks ◽  
Long Run ◽  
Time Period ◽  
Policy Measures ◽  
Central South

PurposeThis paper aims to investigate the production of sugar cane ethanol in Brazil for the time period 1983-2016, separating the data by geographical location.Design/methodology/approachFor this purpose, the authors use techniques based on the concept of fractional integration.FindingsThe authors show that the data corresponding to the total production is highly persistent, with an integration order smaller than 1 but close to it. In fact, the unit root hypothesis cannot be rejected implying that shocks have a permanent nature, and thus requiring policy measures to recover the level from exogenous shocks. Separating the data into two sub-regions, namely, North–Northeast and Central–South, higher levels of persistence are detected in the latter, while the former presents some evidence of mean reverting behavior, implying that shocks will disappear by themselves in the long run in the former regions. These results are obtained from all the different methods used.Originality/valueThe originality is based on the time series techniques used in the paper that departs from the classical methods based on unit roots and integer degrees of differentiation.

scholarly journals GDP and population growth: Evidence of fractional cointegration with historical data from 1820 onwards

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Luis Gil-Alana ◽  
Cecilia Font ◽  
Águeda Gil-López
Keyword(s):  
Historical Data ◽  
Fractional Integration ◽  
Content Type ◽  
Group Of Seven ◽  
Long Run ◽  
Equilibrium Relationship ◽  
The Usa ◽  
Using Data ◽  
The Uk ◽  
The Relationship

PurposeUsing data from 1820 onwards in a group of seven countries, namely, Australia, Chile, Denmark, France, the UK, Italy and the USA, the authors investigate if there is a long-run equilibrium relationship between the two variables (GDP and population).Design/methodology/approachUsing fractional integration and cointegration methods, this paper deals with the analysis of the relationship between GDP and population using historical data.FindingsThe authors’ results show first that the two series are highly persistent, presenting orders of integration close to or above 1 in practically all cases. Testing cointegration between the two variables, the results are quite variable depending on the methodology and the bandwidth numbers used, but if cointegration takes places, it only occurs in the cases of France, Italy and the UK.Research limitations/implicationsThe fact that the orders of integration of all series is close to 1 indicate high levels of persistence with shocks having permanent effects and requiring strong measures to recover the original trends.Practical implicationsAny shock affecting the series will have a permanent nature, persisting forever.Originality/valueUpdated time series techniques based on concepts such as fractional integration and cointegration are used.

The random walk in the stock prices of 18 OECD countries

2016 ◽  
Vol 43 (4) ◽  
pp. 598-608
Author(s):  
Hassan Shirvani ◽  
Natalya V. Delcoure
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Unit Roots ◽  
Oecd Countries ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Cross Sectional ◽  
Panel Unit Root ◽  
Content Type ◽  
Long Run

Purpose The purpose of this paper is to examine the presence of unit roots in the stock prices of 16 OECD countries. Design/methodology/approach Heterogeneous panel unit root tests developed by Im et al. (1997/2003) and Pesaran (2007). Findings Under the assumption of cross-sectional independence across the panel, the authors find no evidence of unit roots, thus failing to reject mean reversion in the stock prices for all the countries in the sample. However, under the assumption of cross-sectional dependence, an assumption borne out by the diagnostic test results, the authors find support for the presence of unit roots in the stock prices. Practical implications Thus, the use of more robust panel unit root tests seems to raise questions about the long-run predictability of the stock market, at least in the context of the OECD countries. Originality/value Thus, it seems that in the long run, an investment policy of buy and hold has still much to offer.

scholarly journals Energy Consumption in the GCC Countries: Evidence on Persistence

2019 ◽  
Vol 2 (1) ◽  
pp. p1 ◽  
Author(s):  
Guglielmo M. Caporale ◽  
Luis A. Gil-Alana ◽  
Manuel Monge
Keyword(s):  
Saudi Arabia ◽  
Energy Consumption ◽  
Linear Time ◽  
Fractional Integration ◽  
Annual Data ◽  
Policy Action ◽  
Exogenous Shocks ◽  
Gcc Countries ◽  
Long Run ◽  
Linear Time Trend

This paper examines the statistical properties of energy consumption in the GCC countries applying fractional integration methods to annual data from 1980 to 2014. The results indicate that both the raw and the logged series exhibit a (statistically significant) linear time trend in the case of Bahrain, Oman and Qatar, and the raw series only in the case of Saudi Arabia. Mean reversion (and thus only transitory effects of shocks) is found in the case of Bahrain for both the raw and logged data, and in Qatar for the logged series. In the remaining cases, the unit root hypothesis (implying permanent effects of shocks) cannot be rejected except for the logged data in Saudi Arabia, since the order of integration of the series is found to be statistically higher than 1 in that country. The implication of these findings is that in the case of Bahrain and Qatar exogenous shocks to energy consumption have transitory effects, which disappear in the long run without the need for policy action, whilst the permanent nature of the effects of shocks elsewhere means that appropriate policies have to be designed to restore equilibrium.

scholarly journals TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

2009 ◽  
Vol 25 (6) ◽  
pp. 1793-1828 ◽  
Author(s):  
Uwe Hassler ◽  
Paulo M.M. Rodrigues ◽  
Antonio Rubia
Keyword(s):  
Fractional Integration ◽  
Unit Roots ◽  
Testing Procedure ◽  
Chi Square ◽  
Testing Procedures ◽  
Long Run ◽  
Cyclical Component ◽  
Alternative Hypotheses ◽  
Short Memory ◽  
The Time Domain

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994) results to allow for short memory in a regression framework and generalizes the procedures in Agiakloglou and Newbold (1994), Tanaka (1999), and Breitung and Hassler (2002) by allowing for single or multiple fractional unit roots at any frequency in [0, π]. Our testing procedure can be easily implemented in practical settings and is flexible enough to account for a broad family of long- and short-memory specifications, including ARMA and/or GARCH-type dynamics, among others. Furthermore, these tests have power against different types of alternative hypotheses and enable inference to be conducted under critical values drawn from a standard chi-square distribution, irrespective of the long-memory parameters.

Foreign trade, financial development, agriculture, energy consumption and CO2 emission: testing EKC among emerging economies

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nitin Koshta ◽  
Hajam Abid Bashir ◽  
Taab Ahmad Samad
Keyword(s):  
Emerging Economies ◽  
Resource Curse ◽  
Unit Root Test ◽  
Least Square ◽  
Causality Test ◽  
Content Type ◽  
Ordinary Least Square ◽  
Long Run ◽  
Time Period ◽  
New Policies

Purpose The main purpose of this study is to explore the presence of the EKC hypothesis in emerging economies. Additionally, the present study also explores the existence of the “resource curse hypothesis” (RCH), and the causal relationship among the variables that are considered for testing the presence of EKC and RCH hypothesis for a panel of selected emerging economies for the time period between 1990 and 2014. Design/methodology/approach The authors performed unit root test followed by cointegration test to test the existence of cointegrating relationship among the variables. Dynamic ordinary least square (DOLS) and fully modified ordinary least square (FMOLS) methods are used to obtain long-run estimates of considered variables, and the Granger causality test is performed to test the directional causality. Findings The long-run estimates obtained from DOLS and FMOLS techniques support the presence of the EKC (inverted U-shape) and the RCH. Originality/value To the best of the authors’ knowledge, the present work is the pioneer study for EKC and RCH investigation in the context of emerging economies. The policy implication is that these economies should look forward to drafting new policies to reduce environmental degradation and promote sustainable development.

Evaluating survey-based forecasts of interest rates and macroeconomic variables

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Athanasios Fassas ◽  
Stephanos Papadamou ◽  
Dimitrios Kenourgios
Keyword(s):  
Interest Rates ◽  
Forecast Horizon ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Market Participants ◽  
Inflation Forecasts ◽  
Long Run ◽  
Time Period ◽  
Short Run

PurposeThis study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design.Design/methodology/approachThis work employs two methodologies, namely a panel specification, with the cross-section being the forecast horizon (from 1-month to 18-months ahead forecasts) and the time period being the time that the forecast was made and a quantile regression technique, which evaluates the hidden nonmonotonic relations between the forecasts and the target variables being forecasted.FindingsThe empirical findings of this study show that survey-based forecasts of certain key macroeconomic variables are generally biased but still efficient predictors of target variables. In particular, we find that survey participants are more efficient in predicting long-term interest rates in the long-run and short-term interest rates in the short run, while the predictability of medium-term interest rates is the least accurate. Finally, our empirical analysis suggests that currency fluctuations are very hard to predict in the short run, while we show that survey-based forecasts are among the most accurate predictors of GDP deflator and growth.Practical implicationsEvaluating the accuracy of economic forecasts is critical since market participants and policymakers utilize such data (as one of several inputs) for making investment, financial and policy decisions. Therefore, the quality of a decision depends, in part, on the quality of the forecast. Our empirical results should have immediate implications for asset pricing models that use interest rates and inflation forecasts as variables.Originality/valueThe present study marks a methodological departure from existing empirical attempts as it proposes a simpler yet powerful approach in order to investigate the efficiency of professional forecasts. The employed empirical specifications enable market participants to investigate the information content of forecasts over different forecast horizons and the temporal evolution of forecast quality.

Relationship between crime and economic affluence in India: an empirical study from 1982 to 2013

2017 ◽  
Vol 3 (1) ◽  
pp. 27-37 ◽  
Author(s):  
Avijit Debnath ◽  
Sujoy Das
Keyword(s):  
Design Methodology ◽  
Unit Root Test ◽  
Least Square ◽  
Annual Data ◽  
Content Type ◽  
Long Run ◽  
Time Period ◽  
Short Run ◽  
The Relationship ◽  
Analyze Data

Purpose There have been limited studies which investigate the interlinkage between crime and economic affluence. The purpose of this paper is to investigate the linkage between crime and economic affluence in India. Design/methodology/approach The study is based on annual data spans over the time period 1982-2013. Standard econometric tools like unit root test, co-integration and two stage least square technique have been used to analyze data and to draw inferences. Findings The study finds that crime and economic affluence are interlinked in India. However, the nature of the linkage is not uniform over the time span. It is observed that economic affluence affects violent crime positively in the long run, but crime effects affluence negatively. In the short run, however, the relationship between crime and economic affluence is observed to be reversed. Originality/value This study is first of its nature to investigate the bi-directional linkage between crime and economic affluence in India. This study helps us to understand that controlling the crime rate is the urgent need of the hour to alleviate the pace of long run economic affluence in India.

scholarly journals The experiences of work-life balance, stress, and coping lifestyles of female professionals: insights from a developing country

2020 ◽  
Vol 42 (4) ◽  
pp. 999-1015
Author(s):  
Babatunde Akanji ◽  
Chima Mordi ◽  
Hakeem Adeniyi Ajonbadi
Keyword(s):  
Health Sector ◽  
Geographical Location ◽  
Stress And Coping ◽  
Work Life ◽  
Work Life Balance ◽  
Medical Doctors ◽  
Life Balance ◽  
Content Type ◽  
Work Family ◽  
And Coping

PurposeGiven the limiting conditions of the gender roles confronting professional working women and drawing on spillover theory, the purpose of this paper is to explore the experiences of work-life balance with an emphasis on the causes of the imbalances, perceived stress, and coping techniques experienced by female medical doctors in an African context – Nigeria, a geographical location that is considered under-researched.Design/methodology/approachThe qualitative data is based on one-to-one in-depth interviews with 52 Nigerian female medical doctors.FindingsBased on the findings of the thematic analysis, it is clear that time squeeze, as a well-known factor in the medical profession, exacerbates negative work-home interference. However, other themes, such as patriarchal proclivities and task-pay disparity, that affect female doctors but are rarely considered in studies on work-life balance also emerged as sources of stress and work-family conflicts, leaving these doctors to devise individual coping methods as mitigating strategies.Research limitations/implicationsThe study relies on a limited qualitative sample size, which makes the generalisation of findings difficult. However, the study contributes to the limited literature on the implications of stress and work-family incompatibilities facing women in a society that is not particularly egalitarian, with an extremely pronounced culture of masculine hegemony that is contrary to western cultures. The article unveils the socio-cultural difficulties of the work-life demands facing women specific to the Nigerian society and experienced with a different level of intensity.Originality/valueThe majority of the research on work-life balance has been undertaken in western countries and has focused on various professional groups and organisations, including the health sector. Nevertheless, work-life balance is a novel concept within the Nigerian work environment, where female medical doctors, as a professional group, are rarely studied. The article also provides valuable insights into the macro-contextual features influencing the work-life balance of Nigerian professional women.

scholarly journals Impact of the Human Microbiome in Forensic Sciences: a Systematic Review

2020 ◽  
Vol 86 (22) ◽  
Author(s):  
Manuel G. García ◽  
María D. Pérez-Cárceles ◽  
Eduardo Osuna ◽  
Isabel Legaz
Keyword(s):  
Systematic Review ◽  
Forensic Science ◽  
Human Microbiome ◽  
Geographical Location ◽  
Postmortem Interval ◽  
Forensic Sciences ◽  
Content Type ◽  
Microbiome Analysis ◽  
Location Of Death ◽  
Microbiome Research

ABSTRACT Numerous studies relate differences in microbial communities to human health and disease; however, little is known about microbial changes that occur postmortem or the possible applications of microbiome analysis in the field of forensic science. The aim of this review was to study the microbiome and its applications in forensic sciences and to determine the main lines of investigation that are emerging, as well as its possible contributions to the forensic field. A systematic review of the human microbiome in relation to forensic science was carried out by following PRISMA guidelines. This study sheds light on the role of microbiome research in the postmortem interval during the process of decomposition, identifying death caused by drowning or sudden death, locating the geographical location of death, establishing a connection between the human microbiome and personal items, sexual contact, and the identification of individuals. Actinomycetaceae, Bacteroidaceae, Alcaligenaceae, and Bacilli play an important role in determining the postmortem interval. Aeromonas can be used to determine the cause of death, and Corynebacterium or Helicobacter pylori can be used to ascertain personal identity or geographical location. Several studies point to a promising future for microbiome analysis in the different fields of forensic science, opening up an important new area of research.

scholarly journals The economic market outcomes and income distribution when capital is not homogeneous

2019 ◽  
Vol 1 (1) ◽  
pp. 38-56
Author(s):  
Ahmet Özçam
Keyword(s):  
Measurement Problem ◽  
Physical Capital ◽  
Threshold Level ◽  
Market Model ◽  
Economic Market ◽  
Constant Elasticity ◽  
Content Type ◽  
Macroeconomic Analysis ◽  
Long Run ◽  
Short Run

Purpose An aggregate production function has been used in macroeconomic analysis for a long time, even though it seems that it is conceptually confusing and problematic. The purpose of this paper is to argue that the measurement problem related to the heterogenous capital input that exists in macroeconomics is also relevant to microeconomic market situations. Design/methodology/approach The author constructed a microeconomic market model to address both the problems of the measurement of the physical capital and of substitutability between labor and capital in the short run using two types of technologies: labor neutral and labor reducing. The author proposed that labor and physical capital inputs are complementary in the short run and can become substitutes only in the long run when the technology advances. Findings The author found that even if the technology improves at a fast rate over time, there are then diminishing returns of profits to technology and an upper limit to profits. Moreover, the author showed that under the labor-reducing technology, labor class earns more initially as technology improves, but their incomes start declining after some threshold level of passage of time. Originality/value The author cautioned the applied researcher that the estimated labor and capital coefficients of generalized Cobb–Douglas and constant elasticity of substitution of types of production functions could not be interpreted as partial elasticities of labor and capital if in reality the data come from fixed-proportions types of processes.

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