• Journal of the Korean Data and Information Science Society
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• v.16 no.3
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• pp.695-703
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• 2005

This paper extends the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. The finite sample distribution of the associated rank test for dally data is also presented.

• International Area Studies Review
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• v.21 no.1
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• pp.201-219
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• 2017

This paper analyzes the economic effects of the S&T Innovation, R&D, human resources and investment on the economic growth using 18 countries. We have obtained the somewhat mixed results on the existence of unit root roots in variables. While most of Pedroni cointegration tests show that there are no panel cointegration among the variables, Kao cointegration test shows that there is the panel cointegration among the variables such as GDP, human capital, R&D investment and patent. Kao cointegration test result shows that human capital, R&D investment, patent economic growth seem to have the panel cointegration or the long-run relationship among them as a whole. The estimation results of individual OLS and panel estimation show that the human capital, R&D investment and technology innovation or patent had positively significant effects on economic growth or GDP.

• The Journal of Fisheries Business Administration
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• v.44 no.1
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• pp.71-79
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• 2013

This study is aimed to estimate market integration of wild caught fish species on the Korean market, using both multivariate and bivariate cointegration analysis. For the analysis of market integration between wild caught fish species, major four fish species those are most popular fish in the market and caught by the large purse seine fishery-chub mackerel, jack mackerel, hairtail and spanish mackerel-were selected as analytical target fish species. And their real monthly price data from January 2000 to December 2011 were used in the analysis. The results of the multivariate cointegration test for four wild caught fish species showed that there would be long-term equilibrium relationships among prices of four wild caught fish species, and consequently, the markets for wild caught fish species were estimated to be integrated. The results of exclusion test and bivariate cointegration test also supported that there would be a clear evidence to suggest that all target wild caught fish species were cointegrated each other.

• Communications for Statistical Applications and Methods
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• v.23 no.6
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• pp.587-592
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• 2016

It is a long-standing issue to correctly determine the number of long-run relationships among time series processes. We revisit nonparametric test for cointegration rank and propose bootstrap refinements. Consistent with model-free nature of the tests, we make use of Cholesky factor bootstrap methods, which require weak conditions for data generating processes. Simulation studies show that the original Breitung's test have difficulty in obtaining the correct size due to dependence in cointegrated errors. Our proposed bootstrapped tests considerably mitigate size distortions and represent a complementary approach to other bootstrap refinements, including sieve methods.

• Ocean and Polar Research
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• v.36 no.1
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• pp.71-76
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• 2014

This study aims to analyze the market interactions among the main farmed fish species in Korea, using both multivariate and bivariate cointegration analysis. For the analysis of market interactions among farmed fish species, major four farmed fish species, olive flounder (Paralichthys olivaceus), black rockfish (Sebastes schlegeli), red seabream (Pagrus major), and grey mullet (Mugil cephalus) were selected as the analytical target species. And their real price data by month from January 2000 to December 2011 were used in the analysis. The results of the multivariate cointegration test for four farmed fish showed that there would be no long-term equilibrium relationships among farmed fish species, and consequently they do not share the same market. The results of bivariate cointegration test indicated that there was little evidence to suggest that all farmed fish species were cointegrated each other. However, it was only analyzed that olive flounder and grey mullet might have a long run equilibrium relationship.

• Communications for Statistical Applications and Methods
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• v.16 no.4
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• pp.707-711
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• 2009

We propose new cointegration tests using signs of the regressors as instrumental variable. Our tests have the asymptotic standard normal distribution and are free from the dimension of regressors under the null hypothesis of no cointegration. A Monte-Carlo simulation shows that the proposed tests have a stable size and an improved power. Particulary, the tests have better power for small numbers of observations.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.13-19
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• 2021

To provide empirical evidence on the impact of export instability on economic growth in developing countries, this study estimated the neoclassical production function using data of the Jordanian economy for the period 1995-2019. Real exports, real capital, and export instability were the independent variables in the production function. To determine the appropriate methodology for estimating the production function, the study conducted some preliminary tests, including the Augmented-Dickey Fuller (ADF), on the study data. The results of this test indicated that all study variables were stationary at first difference. Therefore, the Johanson cointegration test was applied to determine that there was cointegration between the study variables since the results of the former test indicated that there was one cointegration vector between these variables. The cointegration equation revealed a positive and statistically significant impact of real capital, real exports, and an indicator of export instability on economic growth. The most important policy implications for these results would be reducing the geographical concentration of exports through the expansion of free trade agreements (FTA) to enhance the positive impact of the instability of exports on economic growth. Moreover, the study recommends strengthening export-oriented actions to achieve higher levels of economic growth.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.2
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• pp.141-149
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• 2022

Despite the importance of the insurance business for financial and economic development, few studies have looked at the factors that influence its growth. This research adds to the body of knowledge by empirically examining the impact of numerous factors on the development of the insurance business in 15 Middle East and North African (MENA) countries from 2000 to 2017. The study looks at macroeconomic, demographic, and institutional factors as potential drivers of the insurance industry's growth, with the insurance premium as a percentage of GDP as the dependent variable. All variables are stationary at the first difference, according to the IPS panel unit root test. The Pedroni residual cointegration test, Kao residual cointegration test, and Johansen-Fisher panel cointegration tests are then used to look for long-run associations. The cointegration tests strongly suggest that the insurance premium and the various variables have long-run correlations. Findings from the Fully-Modified OLS imply that GDP per capita, gross capital formation, and the KOF economic globalization index have a positive long-term impact on the insurance business. The insurance business is also driven by combating corruption and the rule of law. The population and regulatory quality, on the other hand, have no significant impact.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.81-91
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• 2021

This paper investigates the long run hedging ability of precious metals against the risks associated with adverse conditions of economic and financial variables for Pakistan, the USA, China, and India. Monthly data of gold, silver, platinum, stock returns, exchange rate, industrial production, and inflation was collected for the selected economies. Saikkonen and Lutkepohl (2002) unit root test was employed to access the unit root properties of the data series and identify the break dates. Furthermore, this study used the Johansen cointegration test with and without structural breaks to identify the long-run relationship between metals prices and different financial and economic variables. The findings suggest that the time series under study have unit root problem at level with and without structural breaks. Without considering structural breaks, the Johansen trace test indicates that in Pakistan and China, gold, silver, and platinum hold a cointegrating relationship with macroeconomic and financial variables. For the US, gold indicates cointegration which supports the hedging ability of gold against inflation, stock, and industrial production in the long run. The results of the cointegration test after incorporating the structural breaks provide even stronger evidence of the long-run relationship of precious metals and consumer prices, exchange rate, and stock prices.

• Communications for Statistical Applications and Methods
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• v.15 no.5
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• pp.719-726
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• 2008

In this paper we consider a joint test for seasonal cointegrating(CI) ranks that enables us to simultaneously model cointegrated structures across seasonal unit roots in seasonal cointegration. A CI rank test for a single seasonal unit root is constructed and extended to a joint test for multiple seasonal unit roots. Their asymptotic distributions and selected critical values for the joint test are obtained. Through a small Monte Carlo simulation study, we evaluate performances of the tests.