A new method to choose optimal lag order in stable and unstable VAR models

Hatemi‐J, Abdulnasser

doi:10.1080/1350485022000041050

Cited by 199 publications

(125 citation statements)

References 3 publications

Supporting

Mentioning

107

Contrasting

Unclassified

Order By: Relevance

“…This test can be estimated by employing the vector autoregressive (VAR) model with an order of p . The innovative lag-based criteria suggested by (Hatemi-J 2003(Hatemi-J , 2008 can be used to select the optimal lag length for the VAR model. .…”

Section: Asymmetric Causality Testsmentioning

confidence: 99%

Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis

et al. 2017

View full text Add to dashboard Cite

This paper investigates the asymmetric relationship between energy consumption and economic growth by incorporating financial development, capital and labour into a production function covering the Indian economy from 1960Q 1 -2015Q 4 . The nonlinear autoregressive distributed lag bounds testing approach is applied to examine the asymmetric cointegration between the variables. An asymmetric causality test is also employed to examine the causal association between the considered variables. The results indicate cointegration between the variables in the presence of asymmetries. The asymmetric causality results show that only negative shocks in energy consumption have impacts on economic growth. In the same vein, only negative shocks in financial development have impacts on economic growth. By contrast, symmetrically, capital formation causes economic growth. Finally, over the study period, a neutral effect exists between the labour force and economic growth in India. The implications of these results for growth policies in India are also discussed.Keywords: Financial Development, Energy, Growth, India, Asymmetries JEL classification: O13 Acknowledgements: We would like to thank the editor, Professor Richard Tol (University of Sussex, Brighton, UK), as well as the three anonymous reviewers, for their valuable comments and suggestions that helped us improve our paper significantly. We also thank the participants at the 7 th International Research Meeting in Business and Management (IPAG, Nice, France, 11-12 July 2016). We are also grateful to Jawad Kazmi for his technical assistance. The authors' are responsible for any remaining errors or shortcomings. IntroductionThis study uses quarterly data to investigate the relationship between energy consumption and economic growth in India over the 1960-2015 period. Financial development (measured by domestic credit to the private sector), 1 capital formation and labour force 2 are also included in the Cobb-Douglas production function. This study's main contribution to the existing literature on the energy-growth nexus concerns its examination of the potential asymmetric relationship between the variables. Taking this asymmetry into account is important because a positive or negative variation on one variable does not have the same impact on the other variable. The existence of an asymmetric relationship between two variables can be caused by numerous factors, one of which concerns the complexity of economic systems and the mechanisms that generate the variables under study. This complexity may induce various channels through which one variable affects another. In our case, the relationship between energy consumption and economic growth has been found to be very complex because previous studies have shown four possible impact channels: the growth, conservative, feedback and neutrality hypotheses. 3 On the one hand, the relationship between energy consumption and financial development can also be very complex because numerous impact channels can exist between them...

show abstract

Section: Asymmetric Causality Testsmentioning

confidence: 99%

Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis

et al. 2017

View full text Add to dashboard Cite

show abstract

“…This test can be applied by using a Vector autoregressive (VAR) model with an order of , and the optimal lag length can be selected by using criteria suggested by Hatemi-J (2003Hatemi-J ( , 2008.…”

Section: Asymmetric Causality Testmentioning

confidence: 99%

Financial development and environmental quality: The way forward

et al. 2016

View full text Add to dashboard Cite

The present paper re-examines the asymmetric impact of financial development on environmental quality in Pakistan for the period 1985Q1 to 2014Q4. A comprehensive index of financial development is generated using Bank-and Stock market-based financial development indicators. The results show that inefficient use of energy adversely affects the environmental quality. This suggests adoption of energy efficient technology at both production and consumption levels. These technologies would be helpful to improve environmental quality, enhance the productivity in long-run and save energy. Bank-based financial development also impedes the environment. The government should encourage lenders to ease the funding for energy sector and allocate financial resources for environment friendly businesses rather than wasting them in consumer financing.

show abstract

“…As such, the null hypothesis states that all the coefficients of the lagged level variables are equal to zero. The null and the alternative hypothesis are thus formulated as follows: Hatemi-J (2003), this criterion is based on the fundamental lag selection condition from the SBC introduced by Schwarz (1978) and the HQC formulated by Hannan and Quinn (1979). Generally, this HJC approach is suitable for non-stationary series and the basis for this criterion is as follows:…”

Section: Data Source and Empirical Strategymentioning

confidence: 99%

Determinants of Infant Mortality in Older ASEAN Economies

et al. 2016

View full text Add to dashboard Cite

Infant mortality in the Association of Southeast Asian Nations (ASEAN) has been declining, yet disparities remain between the nations. This paper therefore explores the determinants of infant mortality in the older ASEAN economies, Malaysia, Thailand, Indonesia and the Philippines. The key findings of the study are: First, there is evidence of long-run relationships among infant mortality, education, female fertility, income and access to healthcare. Second, the determinants of infant mortality vary between countries. Female fertility emerged as the main determinant of infant mortality in Malaysia, while access to healthcare matter for infant mortality in Indonesia and somewhat in the Philippines. The income effect is significant for reducing infant mortality in Malaysia, while female education level is important for Indonesia and Thailand. Third, the speed of adjustment of infant mortality rate is comparatively low in ASEAN-4.

show abstract

A new method to choose optimal lag order in stable and unstable VAR models

Cited by 199 publications

References 3 publications

Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis

Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis

Financial development and environmental quality: The way forward

Determinants of Infant Mortality in Older ASEAN Economies

Contact Info

Product

Resources

About