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Showing 1 to 20 of 36 for “"cointegration test"”.
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Threshold cointegration test of the Fisher effect
… to as the Fisher effect in the literature.;To test the Fisher hypothesis, most of the previous empirical studies are using linear models in time series, which was predicated on the assumption that the path of adjustment towards long-run equilibrium is necessarily symmetric. The assumption of …
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Impact of Exchange Rate on Trade Balance
… spurious regression problems, the data were tested for stationarity and Cointegration. Augmented Dick -Fuller (ADF) tests show that the series were non stationary at Level but all of them are stationary at their first difference. The Engle granger Cointegration Test shows that there is a long …
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Three Essays on Trade Policy and Impacts of Regional Demographic Changes
… a modified GDP function approach. The unit root test results using the Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test show that, for most of the commodities, the unit root cannot be rejected at the significance levels. However, results from the Johansen procedure for the …
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Budget deficit and economic growth in Namibia
… Auto Regressive Distributed Lag (ARDL) Bounds Test and estimated the coefficients of the variables from the Error Correction Model in examining the relationship between budget deficit and economic growth. According to the cointegration test, the result has shown that past budget deficit and …
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The Impact of Diaspora Remittances on Economic Growth: Evidence from Zimbabwe
… or in the long-run. The results from the cointegration test and the causality test show that Diaspora Remittances have a long-run causal impact on economic growth in Zimbabwe. The results also show that the causal impact is unidirectional running from remittances to economic growth. In the …
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Understanding the role of public preferential procurement on the development of black owned construction SMME'S IN South Africa
… to 2017 in Namibia. The study applied unit root testing and Cointegration test to test for the presence of a cointegration relationship between the variables. Also, a vector autoregression model short-run causality among the variables was examined. In the end, Impulse response functions are …
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Foreign Direct Investment, Economic Growth and Employment creation: A Causality Analysis from Namibia
… to 2017 in Namibia. The study applied unit root testing and Cointegration test to test for the presence of a cointegration relationship between the variables. Also, a vector autoregression model short-run causality among the variables was examined. In the end, Impulse response functions are …
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Measuring built environment technology awareness using time-series analysis
… Search traffic. Using Engle-Granger two-step cointegration test method, this study compares the awareness time-series of 208 built environment technologies in pairs. The results show that different awareness measures coexist and cointegrate, suggesting that invention, innovation, and diffusion …
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An assessment of the role of real exchange rate on economic growth in South Africa (1994-2015)
… which Augmented Dicky Fuller and Philip Perron tests for stationarity, cointegration test, Vector Error Correction Model (VECM) approach for the long-run relationship were conducted. Impulse Response Function (IRF) and Variance Decomposition (VD) were also conducted to explain the response to …
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The causal relationship between exports and economic growth: time series analysis for UAE (1975-2012)
… exports can have. In doing so, various unit root tests have been applied to examine the time-series properties of the variables, while the Johansen cointegration test is employed to test the existence of a long-run relationship between the variables. Moreover, the multivariate Granger causality …
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Essays in international finance
… of three separate essays. The first essay tests the validity of long-run Purchasing Power Parity (PPP) in two panels of real exchange rates for 13 OECD countries (1989:07-2012:11, 1989:07-2006:12). Three panel unit root tests are applied, one that assumes cross-sectional independence, one …
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The Impact Of Foreign Direct Investment on Economic Growth in Tanzania from 1990 to 2013
… for the study was subjected to ADF unit root test to check for stationarity after which differencing was applied where appropriate. The result of the regression analysis shows the model has a significant capability to explain the relationship amongst the variables. The F statistic is …
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Impact of Foreign Exchange Intervention on Shilling fluctuation in Tanzania
… For this purpose, economic technique OLS, cointegration test, and Error Correction Mechanism was applied to time series. To gauge impact of intervention, Error Correction Term was applied. The study selected weekly Interbank Foreign Exchange Market and foreign exchange inflows data from …
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Impact of Foreign Exchange Intervention on Shilling fluctuation in Tanzania
… For this purpose, economic technique OLS, cointegration test, and Error Correction Mechanism was applied to time series. To gauge impact of intervention, Error Correction Term was applied. The study selected weekly Interbank Foreign Exchange Market and foreign exchange inflows data from …
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Savings, investment and economic growth in Namibia
… on economic growth in Namibia. The diagnostic testing using the Johansen cointegration test revealed a long-run relationship between the study variables with one cointegrating equation. The long run analysis was followed by Granger causality tests to understand short-run causal relationships …
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Inward foreign direct investment (FDI) and economic growth in Zambia: a bivariate causality link between FDI and GDP.
… linear regression analysis, Granger causality test, Johansen cointegration technique and vector autoregression (VAR). A unit root test was used to determine whether the data was stationary. Linear regression was used to model the relationship between the independent variable and the response of …
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Inward foreign direct investment (FDI) and economic growth in Zambia: a bivariate causality link between FDI and GDP.
… linear regression analysis, Granger causality test, Johansen cointegration technique and vector autoregression (VAR). A unit root test was used to determine whether the data was stationary. Linear regression was used to model the relationship between the independent variable and the response of …
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Investigating the effectiveness of transmission mechanisms of monetary policy in Sierra Leone
… The study employed techniques such as unit root tests, cointegration, Granger causality test, impulse responses and variance decomposition. The cointegration test result revealed that cointegration exists. The Granger causality test showed that gross capital formation Granger causes exchange rate …
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Analysis of inflation determinants in developing oil-export based economies
… relating to the determinants of inflation. The tests performed in this study were carried out in three steps. The first was the test for stationarity, the second was the cointegration test, and the third was the error correction model (ECM). The outcomes of the first testing model do not offer …
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The impact of international migration on international trade: an empirical study of Australian migrant intake from Asian countries
… facilitate trade. The second step employs the latest econometric techniques to test empirically the theory that is developed in the first step, using real world data. The main empirical technique employed in this thesis to analyse the effect of immigration on trade is the gravity model that is …
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