scholarly journals Determinant of export diversification

2020 ◽  
Vol 9 (7) ◽  
pp. 130-144
Author(s):  
Lukau Matezo Espoir
Keyword(s):  
Unit Root ◽  
Panel Cointegration ◽  
Physical Capital ◽  
Ordinary Least Squares ◽  
Unit Root Tests ◽  
Export Diversification ◽  
Explanatory Variables ◽  
Explanatory Factors ◽  
Openness To Trade

The main objective of this work is to identify the explanatory factors determining the diversification of exports in SADC countries during the period 1990-2018. We regress the indicator of export diversification, measured successively by the Herfindahl-Hirschman index on a set of explanatory variables. Using a next-generation panel data approach is applied, such as panel unit root, panel cointegration, fully modified OLS (FMOLS), and Dynamic Ordinary Least Squares (DOLS). The result of unit root tests for all these variables are stationary at their first difference and integrated of order one.  Our results show that there is a long-term relationship between export diversification and GDP, openness to trade, accumulation of human and physical capital, foreign direct investment. All of its variables are the main explanatory factors for the diversification of exports in SADC countries.

ARE SHOCKS TO TOURIST ARRIVALS IN MOROCCO PERMANENT OR TEMPORARY?

2021 ◽  
Author(s):  
Younesse El Menyari
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
External Shocks ◽  
Tourism Sector ◽  
International Tourist ◽  
Non Linear ◽  
Source Countries ◽  
Linearity Test ◽  
Tourism Arrivals

The main goal of this paper is to examine whether shocks had a permanent or temporary effect on international tourist arrivals in Morocco for its top 8 source countries. For this purpose, we apply the Harvey, Leybourne and Xiao (2008) linearity test and the linear tests and non-linear unit root (Elliott, Rothenberg, & Stock, 1996; Hepsag, 2019; Kruse, 2011; Lee & Strazicich, 2004). The results show that the series with linear characteristics are tourist arrivals from UK and USA and those with non-linear characteristics are tourist arrivals from Belgium, France, Spain, Italy, Netherlands and Germany. The unit root tests reject the null hypothesis of a non-stationarity in tourist arrivals from all countries except the Germany. The implication of these findings is that the shocks had a temporary effect on tourism arrivals from 7 markets to Morocco. Therefore, Morocco's tourism sector is a sustainable industry as external shocks have not had long term disruption in the flow of tourist arrivals.

Cointegration between stock market indices: the case of the slovak and czech stock price indices

1999 ◽  
Vol 8 (1) ◽  
Author(s):  
Dawit Alemu Bemerew
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Price ◽  
Empirical Investigation ◽  
Slovak Republic ◽  
Empirical Work ◽  
Policy Coordination ◽  
Unit Root Tests ◽  
Cointegration Test

This paper provides an empirical investigation of long-term relationship between the stock market indices of the Czech and Slovak Republic. The empirical work applies log of weekly average data on the Czech PX - 50 and the Slovak SAX from September 1995 to December 1997. Empirical investigation is conducted by means of unit root tests and the EngleGranger methodology of cointegration test. The result from the unit root tests shows that individual stock indices are nonstationary - I(1). The result from the cointegration test shows that there is no long-term relationship between the two indices, even though, the strong economic ties and policy coordination between the two republics seem to be in favor of some cointegration.

scholarly journals Investment and Saving Nexus in Asian Countries: Panel Cointegration and Causality

2013 ◽  
Vol 18 ◽  
pp. 1-7 ◽  
Author(s):  
Mohsen Mehrara ◽  
Maysam Musai
Keyword(s):  
Unit Root ◽  
Panel Cointegration ◽  
Cointegration Analysis ◽  
Unit Root Tests ◽  
Domestic Investment ◽  
Panel Unit Root Tests ◽  
Asian Countries ◽  
Panel Unit Root ◽  
Long Run ◽  
Saving Rates

This paper investigates the causal relationship between gross domestic investment (INV) and saving rates for 40 Asian countries by using panel unit root tests and panel cointegration analysis for the period 1970-2010. The results indicate no long run relationship as well as no causalities between these two variables in these countries. The findings are attributed to non stationary deficits or surpluses in current accounts.

scholarly journals An Asymmetric Investigation of Remittance and Trade Openness Impact on Inequality: Evidence From Selected South Asian Countries

2021 ◽  
Vol 12 ◽  
Author(s):  
Liu Fang ◽  
Md. Qamruzzaman
Keyword(s):  
South Asian ◽  
Unit Root ◽  
Trade Openness ◽  
Wald Test ◽  
Ordinary Least Squares ◽  
Linear Process ◽  
Unit Root Tests ◽  
Asian Countries ◽  
Non Linear ◽  
Bds Test

This study’s motivation is to explore the relationship pattern between remittance, trade openness, and inequality of selected south Asian countries for the 1976–2018 period. The study performed non-linear tests, including unit root tests, non-linearity applying ordinary least squares (OLS) and BDS tests, non-linear autoregressive distributed lagged (NARDL) tests, and asymmetry causality tests to assess their association. Study findings with non-linear unit root tests suggest that the research variables follow the non-linear process of becoming stationary from non-stationary. The non-linear OLS and BDS test results confirm the existence of non-linearity among research variables, implying rejection of the null hypothesis of “no non-linearity.” Furthermore, the results of the Wald test in NARDL confirm the availability of asymmetric links among variables. Besides this, the results of NARDL confirm the long-run asymmetric relationship between remittances, trade openness, and inequality in all sample nations. Findings suggest that both positive and negative shocks in remittances and trade openness is critical to either instituting or vexing the present state of inequality in the economy in the long term. In the directional relationship with asymmetry causality, the study shows that the feedback hypothesis holds to explain the asymmetric causal effects that are positive shocks in remittances and trade openness toward inequality.

The Issue of Logistics and Its Correlation to Economic Growth in Turkey

2021 ◽  
Vol 11 (1) ◽  
pp. 66-80
Author(s):  
Berrak Erkumru Can ◽  
Dilek Temiz Dinç ◽  
Aytaç Gökmen
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Unit Root Tests ◽  
Short Term ◽  
Turkish Republic ◽  
Goods And Services ◽  
Augmented Dickey Fuller

Logistics is a considerable issue for the development of a state and its economy. Logistics is involved the forward and backward flows of goods and services from the point of production and point of consumption, and it is considerable for the development of the economy of a country. Yet, the aim of this paper is to review the correlation between the logistics sector of the Turkish Republic and its correlation to economic growth by employing Augmented Dickey Fuller-ADF, Phillips-Perron (PP), Kwiatkowski, Phillips, Schmidt, Shin (KPSS), Elliott, Rothenberg and Stock Point Optimal, and Ng-Perron unit root tests. As a result, there is a bidirectional positive causality between logistics sector and economic growth in the long-term, but there is no causality for short term. Moreover, the novelty of this paper is that it is the most up-to-date study to research logistics and its correlation to economics in Turkey.

Investigation of the price linkage between Asian LNG spot and Far East Asian LNG prices and its implications

2018 ◽  
Vol 1 (1) ◽  
pp. 52-65
Author(s):  
Muhammad Anas Pradipta
Keyword(s):  
Natural Gas ◽  
Unit Root ◽  
East Asian ◽  
Far East ◽  
Unit Root Tests ◽  
Spot Prices ◽  
South Korean ◽  
Natural Gas Prices ◽  
Augmented Dickey Fuller

For so many times, Far East Asian liquid natural gas (LNG) buyers have been using price linked to crude oil-indexed, now they need to find another alternative pricing formula for their crucial energy supply as a better price structure that could reflect the market is needed. LNG spot price is expected to be the pillar for the future LNG trading, especially for Far East Asia Market. As less and less long-term contracts are signed in the Far East Asia Market, this creates an additional demand for the LNG in the spot market, while it raises some issues about the presence of different LNG pricing mechanisms. Most of the LNG spot prices in Asia are indexed to the relatively low natural gas prices in Atlantic Basin. Furthermore, the advancement of drilling technology in the US drives down its natural gas prices, resulting in price discrepancies between Asian LNG spot and East Asian LNG prices. This study investigates whether there is a price linkage between Asian LNG spot and East Asian LNG prices. This study comprehends 91 observations collected from January 2010 to July 2017. Johansen co-integration tests were carried out to examine the existence of long-run relationship on the spot, Japanese and South Korean LNG prices. The Augmented Dickey-Fuller (ADF), Phillip-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests were conducted first before proceeding to the co-integration tests. The results showed that Asian LNG spot prices did not have price linkage for monthly averages of Japanese and South Korean LNG prices. The analyses also indicated that Taiwan LNG markets move together with Asian LNG spot markets. As a conclusion, the results inferred that supply dependency on LNG spot cargoes governed the price linkage among these Asian LNG markets. The use of gas indexed LNG price mechanism did not reflect the economic fundamentals in Asia-Pacific Basin. JEL Classification: Q41Keywords: Price linkage, Johansen co-integration, augmented Dickey-Fuller, Phillip-Perron, and Kwiatkowski-Phillips-Schmidt-Shin, unit root tests, Far East Asian LNG spot prices, LNG spot and short-term cargoes, long-term contracts, spot prices, energy: demand and supply, prices

The long-run relationships between energy efficiency and environmental performance: Global evidence

2017 ◽  
Vol 28 (7) ◽  
pp. 706-724 ◽  
Author(s):  
Jing Niu ◽  
Chun-Ping Chang ◽  
Xiu-Yun Yang ◽  
Jun-Sheng Wang
Keyword(s):  
Energy Efficiency ◽  
Error Correction ◽  
Causal Relationship ◽  
Environmental Performance ◽  
Panel Cointegration ◽  
Developed Countries ◽  
Ordinary Least Squares ◽  
Long Run ◽  
Recent Climate

Owing to recent climate change concerns, the interaction between energy and environmental governance has received greater attention. Therefore, this study investigates the causal relationship between energy efficiency and environmental performance for 129 countries, using the panel cointegration and panel-based error correction models for the period 2002–2012. Our results corroborate that there exists a long-term equilibrium cointegrating relationship between energy efficiency and environmental performance, and that the panel fully modified ordinary least squares estimations present a positive relationship between variables. In accordance with the panel vector error correction model estimation, evidence confirms a bi-directional causal relationship among variables for the long term in the given sample of 129 countries. In addition, the sub-samples’ analyses present causalities running from energy efficiency to environmental performance in the long run, no matter for Organisation for Economic Co-operation and Development (OECD) or non-OECD countries, but a short-run relationship is seen only in OECD members. Evidence also shows an absence of causal direction from environmental performance to energy efficiency in both groups of countries. The policy implication is that an improvement in environmental quality should be based on promoting energy efficiency. However, given that energy efficiency still has not achieved improvement under strong environmental performance, this is a big challenge that cannot be avoided for both developing and developed countries. We also offer several constructive suggestions for how to promote energy efficiency.

scholarly journals Do local governments use municipal companies for off-balance-sheet financing?

2020 ◽  
Vol 7 (54) ◽  
pp. 242-257
Author(s):  
Weronika Stobieniecka ◽  
Anna Białek-Jaworska
Keyword(s):  
Capital Structure ◽  
Corporate Finance ◽  
Local Governments ◽  
Balance Sheet ◽  
Agency Problems ◽  
Ordinary Least Squares ◽  
Explanatory Variables ◽  
The Public ◽  
Debt Capacity

AbstractThis paper investigates whether municipalities in Poland use their municipal companies to increase debt capacity beyond the limitations imposed by the fiscal debt rules. The article presents corporate governance and agency problems on the example of relations between local government units and affiliated companies. We review and link literature on corporate finance, in particular capital structure, and public finance - debt liabilities of municipalities. We analyse a sample of 2,019 observations of municipalities and their municipal companies using the Ordinary Least Squares (OLS) method, where explanatory variables were taken from the public and corporate finance (leverage and its determinants). Results show that long-term debt of municipalities is positively associated with the leverage and size of municipal companies, but it is negatively related to their profitability.

scholarly journals UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

2009 ◽  
Vol 25 (3) ◽  
pp. 587-636 ◽  
Author(s):  
David I. Harvey ◽  
Stephen J. Leybourne ◽  
A.M. Robert Taylor
Keyword(s):  
Decision Rule ◽  
Unit Root ◽  
Ordinary Least Squares ◽  
Unit Root Tests ◽  
Trend Detection ◽  
Initial Condition ◽  
Finite Sample ◽  
Testing Procedures ◽  
Unit Root Testing ◽  
Deterministic Trend

In this paper we focus on two major issues that surround testing for a unit root in practice, namely, (i) uncertainty as to whether or not a linear deterministic trend is present in the data and (ii) uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. In each case simple testing procedures are proposed with the aim of maintaining good power properties across such uncertainties. For the first issue, if the initial condition is negligible, quasi-differenced (QD) detrended (demeaned) Dickey–Fuller-type unit root tests are near asymptotically efficient when a deterministic trend is (is not) present in the data generating process. Consequently, we compare a variety of strategies that aim to select the detrended variant when a trend is present, and the demeaned variant otherwise. Based on asymptotic and finite-sample evidence, we recommend a simple union of rejections-based decision rule whereby the unit root null hypothesis is rejected whenever either of the detrended or demeaned unit root tests yields a rejection. Our results show that this approach generally outperforms more sophisticated strategies based on auxiliary methods of trend detection. For the second issue, we again recommend a union of rejections decision rule, rejecting the unit root null if either of the QD or ordinary least squares (OLS) detrended/demeaned Dickey–Fuller-type tests rejects. This procedure is also shown to perform well in practice, simultaneously exploiting the superior power of the QD (OLS) detrended/demeaned test for small (large) initial conditions.

CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS

1999 ◽  
Vol 15 (2) ◽  
pp. 165-176 ◽  
Author(s):  
Beong Soo So ◽  
Dong Wan Shin
Keyword(s):  
Least Squares ◽  
Confidence Intervals ◽  
Unit Root ◽  
Unit Roots ◽  
Ordinary Least Squares ◽  
Unit Root Tests ◽  
Autoregressive Processes ◽  
Seasonal Time Series ◽  
Least Squares Estimators ◽  
Standard Normal

For autoregressive processes, we propose new estimators whose pivotal statistics have the standard normal limiting distribution for all ranges of the autoregressive parameters. The proposed estimators are approximately median unbiased. For seasonal time series, the new estimators give us unit root tests that have limiting normal distribution regardless of period of the seasonality. Using the estimators, confidence intervals of the autoregressive parameters are constructed. A Monte-Carlo simulation for first-order autoregressions shows that the proposed tests for unit roots are locally more powerful than the tests based on the ordinary least squares estimators. It also shows that the proposed confidence intervals have shorter average lengths than those of Andrews (1993, Econometrica 61, 139–165) based on the ordinary least squares estimators when the autoregressive coefficient is close to one.

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