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Journal of Econometrics, ISSN 0304-4076, 05/2015, Volume 186, Issue 1, pp. 32 - 50
Journal Article
Energy Policy, ISSN 0301-4215, 2009, Volume 37, Issue 7, pp. 2745 - 2753
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 12/2019, Volume 48, Issue 23, pp. 5839 - 5849
This paper discusses Johansen's likelihood ratio tests to determine the cointegration rank under local alternative hypotheses in the vector autoregressive... 
local alternative hypotheses | Johansen cointegration rank tests | linear trend | drift | Rank tests | Economic models | Hypotheses | Autoregressive models | Asymptotic properties | Likelihood ratio | Drift | Regression analysis | Statistical tests | Cointegration analysis
Journal Article
ISSN 1804-1205, 01/2019
This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council... 
stock price indices | Johansen cointegration | Gulf Cooperation Council | Gold price | Demand and Price Analysis | Granger causality
Journal Article
Economic Research-Ekonomska Istraživanja, ISSN 1331-677X, 01/2017, Volume 30, Issue 1, pp. 1497 - 1521
Journal Article
Chinese Journal of Applied Ecology, ISSN 1001-9332, 12/2015, Volume 26, Issue 12, pp. 3835 - 3842
The material flow account of Tangshan City was established by material flow analysis (MFA) method to analyze the periodical characteristics of material input... 
Economic-environment system | Variance decomposition analysis | Material flow analysis | Johansen cointegration test | Impulse response function | Models, Theoretical | China | Environmental Pollution | Economic Development | Gross Domestic Product | Environment | Cities
Journal Article
Mathematics and Computers in Simulation, ISSN 0378-4754, 01/2013, Volume 87, pp. 19 - 29
Journal Article
Journal of Economics and Finance, ISSN 1055-0925, 4/2012, Volume 36, Issue 2, pp. 463 - 480
Journal Article
Journal of the Knowledge Economy, ISSN 1868-7865, 12/2015, Volume 6, Issue 4, pp. 1104 - 1122
This study investigates the causality between energy consumption and gross domestic product (GDP) in Tunisia for the period 1980–2012. The main contribution of... 
Economics | Structural breaks | Economic Policy | Q43 | C32 | C01 | Entrepreneurship | Vector error correction | Energy consumption–growth nexus | R & D/Technology Policy | Tunisia | Johansen et al. cointegration | Energy consumption | Economic research | Research | Economic growth | Studies | Economic theory | International
Journal Article
Acta Montanistica Slovaca, ISSN 1335-1788, 2018, Volume 23, Issue 2, pp. 216 - 231
The purpose of the research study is to examine the effect of changes in crude oil prices (COP) and gold prices (GP) and the long-run relationship of equity... 
Crude oil prices | KSE100 index | Gold price | ARCH & CARCH | Johansen cointegration | Granger causality | EMPIRICAL-ANALYSIS | NUMERICAL DISTRIBUTION-FUNCTIONS | RETURNS | gold price | CRUDE-OIL | SHOCKS | crude oil prices | AUTOREGRESSIVE TIME-SERIES | IMPACT | GEOSCIENCES, MULTIDISCIPLINARY | MACROECONOMY | INFLATION | MINING & MINERAL PROCESSING | STOCK MARKETS
Journal Article
Technological and Economic Development of Economy, ISSN 2029-4913, 07/2017, Volume 23, Issue 4, pp. 567 - 588
This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as,... 
KSE 100 index | inflation indices | Johansen multivariate cointegration | crude oil prices (COP) | consumer price index (CPI) | wholesale price index (WPI) | EMPIRICAL-ANALYSIS | RETURNS | MACROECONOMIC VARIABLES | RISK | CRUDE-OIL | SHOCKS | AUTOREGRESSIVE TIME-SERIES | STOCK-PRICES | IMPACT | ECONOMICS
Journal Article
Business: Theory and Practice, ISSN 1648-0627, 01/2016, Volume 17, Issue 4, pp. 325 - 333
Cointegration approach to the passive portfolio management enables to replicate the selected stock index and to construct a portfolio with profitability and... 
Engle-Granger methodology | Long-run equilibrium relationship | Cointegration | Minkowski metric | Cointegrating vector | Johansen’s cointegration method | Index funds | Management | Portfolio management | Methods | cointegrating vector | long-run equilibrium relationship
Journal Article
International Journal of Applied Decision Sciences, ISSN 1755-8077, 2015, Volume 8, Issue 4, pp. 339 - 357
This article presents a long-term role model of a house price index through Johansen cointegration. Variables linked to the real estate market were used to... 
São Paulo | Rio de Janeiro | bubble | Johansen cointegration | pricing | real estate | Bubbles | Houses | Pricing | Brazil | Markets | Real estate | Convergence
Journal Article
03/2014, ISBN 9781118573204, 21
The relationships among nonstationary variables can be analyzed if they share a common stochastic trend. A way of capturing this common stochastic trend is the... 
deterministic trend | stochastic trend | cointegration | spurious regression | Johansen‐Juselius cointegration test | speed of adjustment coefficient | Engle‐Granger cointegration test | unit root
Book Chapter
Australian Economic Papers, ISSN 0004-900X, 06/2019, Volume 58, Issue 2, pp. 113 - 129
Journal Article