Co-integration Test: An Application to Selected Sorghum Markets in Sudan

Emam, Abda Abdalla; Elmulthum, Nagat; Abass, Amal Saeed

doi:10.5539/jas.v10n6p383

Cited by 3 publications

(9 citation statements)

References 6 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The t statistic of ADF coefficient is compared with the t statistic of test critical values. If the series is stationary, acceptance of H 1 of ADF statistic is bigger than the critical t value (Emam et al, 2018). EVIEWS 9 program (which was used in this study) normally adopts 1% and 5% level of significance.…”

Section: The Unit Root Testmentioning

confidence: 99%

“…A maximum lag number is identified and considered in the co-integration test. Different standards can be used in choosing the lag orders: Akaike information criterion (AIC) is the most widely used model (Emam et al, 2018). AIC is the best model in lag selection when dealing small samples (less than 60; Liew, 2004).…”

Section: Specification Of Lagmentioning

confidence: 99%

“…Hence, the maximum eigenvalue examines the biggest eigenvalue in relation to the following largest value which is zero. The test statistics is specified by the next equation (Emam et al, 2018):…”

Section: Johansen Tests For Co-integrationmentioning

confidence: 99%

“…The trace test examines whether the rank of matrix Π is equal to r 0 , in particular, tests the null hypothesis rank (Π) = r 0 , against the alternative hypothesis r 0 < rank (Π) ≤ n, n represents the maximum number of co-integrating vectors (Baig & Straquadine, 2014). The following equation is used to calculate the likelihood ratio (Emam et al, 2018):…”

Section: Johansen Tests For Co-integrationmentioning

confidence: 99%

See 3 more Smart Citations

Status and Prospects of Agricultural Growth Domestic Product in the Kingdom of Saudi Arabia

et al. 2021

Self Cite

View full text Add to dashboard Cite

The Kingdom of Saudi Arabia (KSA) has set Vision 2030 to reduce the total dependency of the country oil sectors, diversifying the economy and achieving sustainable food security. This necessitated conducting this study which aimed at estimating and analyzing the association and impact of selected agricultural subsectors (dates, honey, fish, chicken, and cattle) on Agricultural Growth Domestic Product (AGDP) of KSA, and identifying the leading subsector in the economy that might substantially affect AGDP and other subsectors. Unit root test, Johansen co-integration, vector error correction model (VECM), multiple regression techniques, and impulse test were used in analyzing the secondary data that covered the period from 1985 to 2017. Results revealed the presence of long-run co-integration between designated variables. Only the coefficient of adjustment parameter for dates (as dependent variable) is negative (−5.42) and significant (critical t value = −2.52 with p = .02), meaning that the model was able to correct its past-time disequilibrium. Furthermore, short-run causality was noticed between few variables. The regression analysis results indicated the existence of positive and significant relationships between the dependent (AGDP) and each of the independent variables: cattle (0.83; p = .00), honey (50.05; p = .06), and chicken (0.07; p = .00). On the contrary, results of the impulse tests showed that the cattle subsector is leading in the economy. Accordingly, cattle, honey, and chicken subsectors should be given high priority in the government investment policy.

show abstract

Section: The Unit Root Testmentioning

confidence: 99%

Section: Specification Of Lagmentioning

confidence: 99%

Section: Johansen Tests For Co-integrationmentioning

confidence: 99%

Section: Johansen Tests For Co-integrationmentioning

confidence: 99%

See 2 more Smart Citations

Status and Prospects of Agricultural Growth Domestic Product in the Kingdom of Saudi Arabia

et al. 2021

Self Cite

View full text Add to dashboard Cite

show abstract

“…The t statistic of ADF coefficient is compared with the t statistic of test critical values. If the series is stationary, acceptance of H1 of ADF statistic is bigger than the critical t value (Emam et al, 2018). EVIEWS 9 program (which was used in this study) normally adopts 1% and 5% level of significance.…”

Section: Unit Root Testmentioning

confidence: 99%

Estimating the Error Correction Model by Applying It to the Sectors of the Gross Domestic Product of the Republic Of Sudan (1960-2020s)

jaffar,

Allatif,

Ahmed

2024

مجلة العلوم التجارية والبيئية

View full text Add to dashboard Cite

The study addressed time series data issues, investigating the long-term relationship between GDP components, the agricultural sector, and other economic sectors. It utilized desorption and economic model estimation to depict the short-term dynamic relationship and estimate long-term equilibrium parameters. Causality and co-integration of time series data, particularly concerning the gross domestic product (GDP) of agro-industrial and service sectors in dollars, were explored. Using time series data from 1960 to 2020, Granger causality tests and an Error Correction model were applied via E-Views for analysis. Findings indicated a 10% decline in the agricultural sector's contribution led to an 8% decrease in GDP. Similarly, reductions of 10% in the service and industrial sectors resulted in GDP declines of 25% and 62%, respectively. Speed error correction in the GDP equation was statistically significant at 1%. Typically, 74% of GDP imbalances in the long run were corrected within a year, with correction speeds for contributing sectors (agriculture, industry, and services) at 19%, 2%, and 1%, respectively. The results affirmed causal relationships between GDP and the service and agriculture sectors, as well as intimate causal relations between agriculture and industry and services. Lastly, the study recommended enhancing agricultural sector development through flexible investment support policies grounded in efficient and sustainable technology, emphasizing attention to both the agricultural and industrial sectors to improve GDP contributions, meet potential exports, and satisfy local demand.

show abstract

Saudi Fertilizers and Their Impact on Global Food Security: Present and Future

Emam

2023

Sustainability

View full text Add to dashboard Cite

This study was designed to assess the long-run association between the Kingdom of Saudi Arabia (KSA) and world export fertilizer (urea and DAP) prices. It also aims to disclose the effect of KSA fertilizer export quantities on global food security. KSA and world fertilizer prices and quantities were collected from various sources for the period ranging from 2002 to 2020. The results from the autoregressive distributed lag bounds and Engle–Granger two-step procedure tests discovered that there are long-run associations between KSA and world urea and DAP prices, respectively. Fully modified ordinary least squares and dynamic ordinary least squares model results were compatible with the results of the autoregressive distributed lag model. From the ECM results, the coefficient of adjustment parameter for KSA urea and DAP prices (as a dependent variable) proved positive and insignificant, leading to the conclusion that the model was powerless to right its previous time instability. This may be due to the short time interval of the series under study, and indicate that it requires more than 12 months to return to its long-run equilibrium. Likewise, the results showed that KSA fertilizer (urea and DAP) export quantities have a positive, highly significant impact on world urea and DAP export quantities. Reference to forecasting analysis results, the growth rates of urea exports quantities equal to 0.002 and 0.004 for the period from 2002 to 2018 and from 2019 to 2026, respectively. In addition, the growth rates of DAP export quantities equal to 0.45 and 0.07 for the period 2002 to 2018 and for the forecast period 2019 to 2026, respectively. With reference to KSA fertilizer exports, the importer countries rank among the main countries producing wheat, sorghum, maize, rice, and millet (chief food crops) in the world, showing that the KSA fertilizer (urea and DAP) export quantities contribute directly to global food security through fertilizer exportation and indirectly through the contribution of the importer’s countries in production of chief food crops. Recommendations drawn from the results are to increase the contribution of the KSA to global food security through lowering the time required to absorb fertilizer price shocks in the world (less than 12 months) and increase the KSA’s fertilizer export quantities.

show abstract

Co-integration Test: An Application to Selected Sorghum Markets in Sudan

Cited by 3 publications

References 6 publications

Status and Prospects of Agricultural Growth Domestic Product in the Kingdom of Saudi Arabia

Status and Prospects of Agricultural Growth Domestic Product in the Kingdom of Saudi Arabia

Estimating the Error Correction Model by Applying It to the Sectors of the Gross Domestic Product of the Republic Of Sudan (1960-2020s)

Saudi Fertilizers and Their Impact on Global Food Security: Present and Future

Contact Info

Product

Resources

About