Mixed signals among tests for panel cointegration

Westerlund, Joakim; Basher, Syed Abul

doi:10.1016/j.econmod.2007.05.003

Cited by 12 publications

(3 citation statements)

References 19 publications

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“…However, in spite of their being less general, residual‐based tests turned out to be the most popular in empirical studies. Indeed, as explained by Westerlund and Basher (2008), parametric tests, such as the tests by Larsson et al (2001) and Groen and Kleibergen (2003), that can accommodate quite general dependencies require to empirically determine the appropriate order p for the autoregression, which is typically unknown (and only in this case these tests will not to depend on nuisance parameters). However, if p is underestimated, there will still be a problem of nuisance parameter, whereas if p is overestimated, the small‐sample properties of the test will deteriorate, and this might have a significant impact on cointegration test performance in small samples.…”

Section: Empirical Investigationmentioning

confidence: 99%

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

2011

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In this paper, we examine long‐run links between oil prices and stock markets in Gulf Cooperation Council (GCC) using recent bootstrap panel cointegration techniques and seemingly unrelated regression (SUR) methods. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil price. We show that there is evidence for cointegration between oil prices and stock markets in GCC countries, while the SUR results indicate that oil price increases have a positive impact on stock prices, except in Saudi Arabia. Copyright © 2011 John Wiley & Sons, Ltd.

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Section: Empirical Investigationmentioning

confidence: 99%

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

2011

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“…Harb (2004) modeled M1 money demand for GCC countries from 1979-2000 and found cointegration between money and non-oil GDP when the trend is not included. However, using different serial correlation adjustment methods, Westerlund and Basher (2008) could not reject the null hypothesis of no cointegration using the same data as Harb. Further, Harb's use of M1 money is problematic, as it does not accurately reflect the private sector's demand for money in GCC countries (further details provided below).…”

Section: Introductionmentioning

confidence: 99%

Investigating long-run demand for broad money in the Gulf Arab countries

Basher

Fachin

2014

Middle East Development Journal

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Normal forms of regular matrix polynomials via local rank factorization" 2011/2 Francesca Di Iorio, Stefano Fachin "A Sieve Bootstrap range test for poolability in dependent cointegrated panels" 2011/3 Maria Grazia Pittau, Shlomo Yitzhaki, Roberto Zelli "The makeup of a regression coefficient: An application to gender" 2011/4 Søren Johansen "The analysis of nonstationary time series using regression, correlation and cointegration -with an application to annual mean temperature and sea level"

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“…treatment of serial correlation) used in cointegration testing. For a demonstration of this issue in the context of panel data, see Westerlund and Basher (2008).…”

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confidence: 99%

Country heterogeneity and long‐run determinants of inflation in the Gulf Arab states^†

Basher¹,

Elsamadisy²

2012

OPEC Energy Review

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Applying nonstationary panel data econometric methods, this paper analyzes the major sources and transmission of inflation in the Gulf Cooperation Council (GCC) countries over the 1980-2008 period. We argue that, in GCC countries, money is essentially demand determined, so that the high collinearity between money and aggregate demand indicators such as non-hydrocarbon output is expected and should be dealt with accordingly. Several important results emerge from the analysis. First, the money supply stands out as a significant determinant of inflation both in short-and long-run. Both foreign prices and the nominal effective exchange rate are shown to be more successful in explaining inflation in the long-run than the short-run. The half-life of the speed of adjustment reveals that it takes about 2.9 years for 50% of a shock to the long-run equilibrium to dissipate. An implication of our results is the case it makes for more sovereign monetary policies in GCC countries.JEL Codes: C32, C33, E31, E50, H30

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Mixed signals among tests for panel cointegration

Cited by 12 publications

References 19 publications

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

Investigating long-run demand for broad money in the Gulf Arab countries

Country heterogeneity and long‐run determinants of inflation in the Gulf Arab states^†

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Mixed signals among tests for panel cointegration

Cited by 12 publications

References 19 publications

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

Oil Prices and Stock Markets in GCC Countries: Empirical Evidence From Panel Analysis

Investigating long-run demand for broad money in the Gulf Arab countries

Country heterogeneity and long‐run determinants of inflation in the Gulf Arab states†

Contact Info

Product

Resources

About

Country heterogeneity and long‐run determinants of inflation in the Gulf Arab states^†