Tourism demand from Europe to Mexico, 2005-2018: A cointegration analysis

2020 ◽  
Vol 14 (2) ◽  
pp. 135-143
Author(s):  
José César Lenin Navarro-Chávez ◽  
Mario Gómez ◽  
René Augusto Marín-Leyva
Keyword(s):  
Exchange Rate ◽  
Unit Root ◽  
Positive Relationship ◽  
Unit Roots ◽  
Cointegration Analysis ◽  
Domestic Currency ◽  
Tourism Demand ◽  
Equilibrium Relationship ◽  
Cointegration Tests

This paper analyzes tourism demand in the countries of Europe for Mexico from 2005 to 2018. Unit root and cointegration tests in panel data are applied. Results indicate that there is presence of unit roots in the variables. A long-term equilibrium relationship was found among tourism demand, real exchange rate, and income, and also there are bidirectional causality relationships between these variables. The positive relationship among the variables implies that a depreciation of the domestic currency and a higher level of income of the releasing countries would generate greater tourism demand in Mexico.

أثر محددات الاستثمار في الاقتصاد العراقي للمدة (2004-2018) ، دراسة قياسية

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
مهند المحمدي ◽  
محمد الحياني
Keyword(s):  
Error Correction ◽  
Statistical Significance ◽  
Economic Thought ◽  
Explanatory Variables ◽  
Equilibrium Relationship ◽  
Cointegration Tests ◽  
Short And Long Term ◽  
Standard Models ◽  
Theoretical Foundations

The research aims to measure and analyze the determinants of investment in the Iraqi economy and study the theoretical foundations of investment and analyze the viewpoint of the most important schools of economic thought regarding investment and investment determinants and their effects on economic activity , and by using possible standard models as the results of standard analysis using the joint integration tests of time series . cointegration tests, they have proven the existence of a long-term equilibrium relationship according to the methodology of the results of estimating the short and long-term parameters and the error correction parameter(ECM) , it is moving from a set of explanatory variables towards The dependent variable, while the value of the error correction vector coefficient was negative and significant , as it reached (-0.59%) , which means the fulfillment of the two basic conditions in this parameter , namely : its negative value and the statistical significance . This means that (0.59) of the short-term errors are automatically corrected during the unit of time (year) to reach the equilibrium in the long term, meaning that the investment requires about less then a year (1.6) , that is , approximately a year and 6 days to reach its equilibrium value in the long term , In other words , the previous period deviates from the long-term equilibrium and is corrected in the current by (59%) . This indicates that the adjustment in the model was relatively fast .

scholarly journals FOREIGN EXCHANGE MARKETS: AN ERROR CORRECTION MODEL ANALYSIS

2009 ◽  
Vol 6 (2) ◽  
Author(s):  
IBM Wiyasha
Keyword(s):  
Exchange Rate ◽  
Structural Stability ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Correction Model ◽  
Equilibrium Relationship ◽  
Exchange Markets ◽  
Exchange Rate Markets

This study aims at investigating the behavior of foreign exchange rate markets in Indonesia using 1350 daily observations. Another objective of this study is to examine the structural stability due to Bali bombing chapter I and II. The markets being investigated are USD, AUD, SGD, and YEN; all relative to rupiah. The ECM is applied to investigate the behavior of the markets aforementioned. The findings of this study are that the markets are co integrated and there is a long term equilibrium relationship among them. Using the Chow test, this study finds that there is no structural stability in the markets after Bali bombing chapter I and II.

scholarly journals Analisis Kausalitas Inflasi dan Jumlah Uang Beredar di Indonesia Periode Tahun 2000.1–2014.4

2017 ◽  
Vol 6 (3) ◽  
pp. 236
Author(s):  
Afrizal Afrizal
Keyword(s):  
Granger Causality ◽  
Money Supply ◽  
Unit Root ◽  
Inflation Rate ◽  
Unit Root Test ◽  
Causality Test ◽  
Equilibrium Relationship ◽  
Level 1 ◽  
Integration Degree

There is often a debate about causality between money supply and inflation. The purpose of this study is to analyze the causality, whether the money supply affects inflation or vice versa. Analytical tool used is unit root test, integration degree test, causality test with granger causality technique and cointegration approach. The result of unit root test data is not stationary, after test of stationary data continued at level 1 (first difference). The result of granger causality test with lag 12 indicates that the money supply has an effect on inflation rate in Indonesia, and vice versa means there is a mutual relationship. And based on Johanson's cointegration test shows that mutual cointegration means having long-term equilibrium relationship as desired by the theory.

scholarly journals Cointegration and Unit Root Tests: A Fully Bayesian Approach

Entropy ◽  
2020 ◽  
Vol 22 (9) ◽  
pp. 968
Author(s):  
Marcio A. Diniz ◽  
Carlos A. B. Pereira ◽  
Julio M. Stern
Keyword(s):  
Statistical Inference ◽  
Bayesian Approach ◽  
Unit Root ◽  
Univariate Analysis ◽  
Unit Roots ◽  
Significance Test ◽  
Stochastic Trends ◽  
Linear Relationships ◽  
Cointegration Tests ◽  
Augmented Dickey Fuller

To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis, one way to detect stochastic trends is to test if the series has unit roots, and for multivariate studies it is often relevant to search for stationary linear relationships between the series, or if they cointegrate. The main goal of this article is to briefly review the shortcomings of unit root and cointegration tests proposed by the Bayesian approach of statistical inference and to show how they can be overcome by the Full Bayesian Significance Test (FBST), a procedure designed to test sharp or precise hypothesis. We will compare its performance with the most used frequentist alternatives, namely, the Augmented Dickey–Fuller for unit roots and the maximum eigenvalue test for cointegration.

scholarly journals Unit Roots in Time Series with Changepoints

2017 ◽  
Vol 6 (6) ◽  
pp. 127
Author(s):  
Ed Herranz ◽  
James Gentle ◽  
George Wang
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Null Hypothesis ◽  
Structural Changes ◽  
Linear Trend ◽  
Unit Root Test ◽  
Unit Roots ◽  
Cointegration Analysis ◽  
Unit Root Tests ◽  
Standard Unit

Many financial time series are nonstationary and are modeled as ARIMA processes; they are integrated processes (I(n)) which can be made stationary (I(0)) via differencing n times. I(1) processes have a unit root in the autoregressive polynomial. Using OLS with unit root processes often leads to spurious results; a cointegration analysis should be used instead. Unit root tests (URT) decrease spurious cointegration. The Augmented Dickey Fuller (ADF) URT fails to reject a false null hypothesis of a unit root under the presence of structural changes in intercept and/or linear trend. The Zivot and Andrews (ZA) (1992) URT was designed for unknown breaks, but not under the null hypothesis. Lee and Strazicich (2003) argued the ZA URT was biased towards stationarity with breaks and proposed a new URT with breaks in the null. When an ARMA(p,q) process with trend and/or drift that is to be tested for unit roots and has changepoints in trend and/or intercept two approaches that can be taken: One approach is to use a unit root test that is robust to changepoints. In this paper we consider two of these URT's, the Lee-Strazicich URT and the Hybrid Bai-Perron ZA URT(Herranz, 2016.)  The other approach we consider is to remove the deterministic components with changepoints using the Bai-Perron breakpoint detection method (1998, 2003), and then use a standard unit root test such as ADF in each segment. This approach does not assume that the entire time series being tested is all I(1) or I(0), as is the case with standard unit root tests. Performances of the tests were compared under various scenarios involving changepoints via simulation studies.  Another type of model for breaks, the Self-Exciting-Threshold-Autoregressive (SETAR) model is also discussed.

scholarly journals Cointegration analysis between economic growth and the number of granted patents based on the example of the German economy

2020 ◽  
Vol 64 (9) ◽  
pp. 87-99
Author(s):  
Janusz Myszczyszyn
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Unit Root ◽  
Statistical Data ◽  
German Economy ◽  
Correlation Coefficients ◽  
Cointegration Analysis ◽  
Cointegration Test ◽  
The Empirical Analysis

The main purpose of the article was to use the Granger cointegration test to confirm the long-term relationship between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents. The empirical analysis was based on available statistical data on the level of economic growth (seven time series) and the number of patents received and valuable patents in the period 1872-1913. In addition to estimates of Pearson’s correlation coefficients, tests for checking the unit root: ADF and KPSS, were used. They indicated that all the analysed time series are integrated in the first stage I(1), which enabled the use of the Engle-Granger cointegration test. The obtained research results did not confirm the long-term correlation between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents.

The Demand for Tourism to Greece: A Cointegration Approach

1998 ◽  
Vol 4 (2) ◽  
pp. 171-185 ◽  
Author(s):  
Petros Lathiras ◽  
Costas Siriopoulos
Keyword(s):  
Empirical Research ◽  
Cointegration Analysis ◽  
Economic Factors ◽  
Tourism Demand ◽  
Dynamic Specification ◽  
Short Run ◽  
Research Studies

Cointegration analysis in modelling tourism demand has rarely been used in previous empirical research studies. This paper attempts to answer two main questions: first, whether certain economic factors are interconnected in the long term with tourism demand, and second, whether a short-run dynamic specification of this demand exists which is statistically adequate and which has appropriate forecasting properties.

Excess Volatility and Costly Arbitrage in Exchange Traded Funds (ETFs): Evidence from India

2019 ◽  
pp. 002029401985748
Author(s):  
Aakanksha Sethi ◽  
Vanita Tripathi
Keyword(s):  
Cointegration Analysis ◽  
Exchange Traded Funds ◽  
Vector Error Correction ◽  
Additional Layer ◽  
Vector Error ◽  
Equilibrium Relationship ◽  
Asset Value ◽  
Excess Volatility ◽  
Short Run

The present study investigates the issue of excess volatility in index exchange-traded funds (ETFs) in India and analyses how well the costly arbitrage theories apply to this segment of the market. We find that the returns of the average ETF are 110 per cent more volatile as compared to the returns of the underlying portfolio which suggests that public trading introduces an additional layer of volatility in ETFs. Factors that limit arbitrage by making it costly for the arbitrageurs to remove the price-net asset value (NAV) deviations explain about 67 per cent of the variation in excess volatility. The cointegration analysis provides evidence of a long-term equilibrium relationship between price and NAV. Vector error correction model (VECM) results suggest that NAVs lead prices to restore this equilibrium in case of short-run deviations. The analysis also revealed that ETF returns are predictable on the basis of past deviations and may be used to generate returns which are significantly greater than those of a buy-and-hold strategy. Our results are in agreement with the theory of costly arbitrage and are inconsistent with the construct of efficiency in financial markets.

scholarly journals Sustainability of the Brazilian public debt: An analysis using multicointegration

2020 ◽  
Vol 37 (75) ◽  
pp. 5-25
Author(s):  
Eduardo Lima Campos ◽  
Rubens Penha Cysne
Keyword(s):  
Fiscal Policy ◽  
Public Debt ◽  
Unit Root ◽  
Government Spending ◽  
Cointegration Analysis ◽  
Unit Root Tests ◽  
Monthly Data ◽  
Brazilian Government ◽  
The Government

According to Bohn (1995), conventional econometric analysis of sustainability, based on unit root tests on the government debt-to-GDP series or cointegration analysis between revenues and expenses, are inconclusive to verify the sustainability of the fiscal policy. This paper uses the multicointegration method to investigatethe validity of a long-term relationship between the Brazilian government`s accumulated revenues and expenses and its debt, all expressed as a proportion of GDP. Leachman et al. (2005) argue that this technique allows concluding about the sustainability or not of fi scal policy. The present work considers specificationsthat allow evaluating the reaction of both accumulated revenues and expenses to changes in the debt-to-GDP, using monthly data from December 1997 to June 2018. We conclude that the Brazilian fiscal policy was unsustainable over the study period, due to the excessive government spending and its growing trajectory, mainly at the end of the sample.

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