Structural change, unit roots, and cointegration

Internet marketing the news: Leveraging brand equity from marketplace to marketspace

“…Since strong seasonality effects (in our case, intra-week patterns) can obscure the long-term behavior of the time series 22 , we perform the unit root test for both the raw data and the deseasonalized data (using multiplicative seasonal indices for each day-of-week). Our findings are identical for each performance series.…”

The environmental consequences of globalization: A country-specific time-series analysis

“…It should be noted that, before implementing the cointegration test, the important specification issue to be addressed is the determination of the lag length for the VAR model, because the Johansen procedure is quite sensitive to changes in lag structure (Maddala and Kim 1998). The lag length ( k ) of the VAR model is determined based on the likelihood ratio (LR) tests.…”

The long-run relationship between stock prices and goods prices: New evidence from panel cointegration

“…We will employ the panel unit root test established by Maddala and Wu (1999) and panel cointegration tests developed by Levin et al (2002), Harris and Tzavalis (1999) and Maddala and Kim (1998). Cointegrating vectors are estimated using the fully modified OLS estimation technique for heterogeneous cointegrated panels developed by Pedroni (2000).…”