A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

Shin, Yongcheol

doi:10.1017/s0266466600008240

Cited by 390 publications

(409 citation statements)

References 34 publications

(113 reference statements)

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“…Once the order of integration of the series is analyzed, we will analyze the long-run regression model [5] using the Dynamic Ordinary Least Squares (DOLS) 8 estimation method of Stock and Watson [4] following the methodology proposed by Shin [58] 9 . This approach is similar to the KPSS 10 tests, which are implemented in two stages for the case of cointegration.…”

Section: Ekc Verificationmentioning

confidence: 99%

“…Moreover we use the statistic C µ 11 , a LM-type test designed by Shin [58], to test the null hypothesis of cointegration against the alternative of no cointegration in a DOLS regression. In Table 6 we report the estimates from the DOLS regression and the results from Shin [58] test.…”

Section: Ekc Verificationmentioning

confidence: 99%

“…In Table 6 we report the estimates from the DOLS regression and the results from Shin [58] test. Results show evidence of linear cointegration between CO 2 emissions and GDP, because we cannot reject the null hypothesis of cointegration.…”

Section: Ekc Verificationmentioning

confidence: 99%

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Studying the relationship between economic growth, CO2 emissions, and the environmental Kuznets curve in Venezuela (1980–2025)

Robalino-López

Nieto

García‐Ramos

et al. 2015

Renewable and Sustainable Energy Reviews

146

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This work tries to determine whether it is possible to stabilize CO 2 emissions under a rapid increase of Gross Domestic Product in a medium term. The paper is an effort to study in detail how changes in the driving forces of the economy affect CO 2 emissions. We study the case of Venezuela for the period 1980-2025, using the methodology proposed by Robalino-López et al. [1,2], which is based on an extension of the Kaya identity and on a GDP formation approach that includes the effect of renewable energies. We test the environmental Kuznets curve (EKC) [3] hypothesis in a coming future under different economic scenarios considering, therefore, not only past data but also projections for the coming years. We use cointegration techniques [4] and the Jaunky [5] specification to test the fulfillment of the EKC hypothesis in Venezuela. Our predictions show that Venezuela does not fulfill the EKC hypothesis, but however, the country could be on the way to achieve environmental stabilization in the medium term. This stabilization could be accomplished combining economic growth with increasing use of renewable energy, appropriated changes in the energy matrix, and in the productive sectoral structure.

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Section: Ekc Verificationmentioning

confidence: 99%

Section: Ekc Verificationmentioning

confidence: 99%

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Studying the relationship between economic growth, CO2 emissions, and the environmental Kuznets curve in Venezuela (1980–2025)

Robalino-López

Nieto

García‐Ramos

et al. 2015

Renewable and Sustainable Energy Reviews

146

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show abstract

“…For this, we used the Shin (1994) residual based test for the null of cointegration, which is analogous to the KPSS test for univariate series. Since our interpretation of the steady state regression allows for the possibility of country specific deterministic trends and intercepts, we included these in the tests.…”

Section: Estimation and Testingmentioning

confidence: 99%

Social capital, barriers to production and capital shares: implications for the importance of parameter heterogeneity from a nonstationary panel approach

Pedroni

2007

J of Applied Econometrics

146

129

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Technical Abstract: Recent advances in the growth literature have proposed that difficult to quantify concepts such as social capital may play an important role in explaining the degree of persistent income disparity that is observed among countries. Other recently explored possibilities include institutional mechanisms which generate barriers to aggregate production. An important limitation for empirical work in this area stems from the fact that it is difficult to distinguish sources of heterogeneity when direct observations are not available. In this study, we show how developments in the analysis of nonstationary panels can aid in this endeavor. In contrast to traditional dynamic panel data analysis, this approach focuses explicitly on low frequency behavior. Under relatively mild assumptions, the approach can be used to infer properties of aggregate production which are robust to the presence of large classes of unobserved features. In this framework we are able to estimate and test the distribution of production function parameters that would be required in order to generate conditional forecast convergence of per capita incomes even when some of the key factors required to explain growth are unobserved. The results indicate that in order to fully explain the observed persistence in the disparity of per capita incomes, the manner in which unobserved mechanisms influence production must go beyond merely accounting for differences in the trending behavior of aggregate productivity. Specifically, the results demonstrate that if such mechanisms are to be successful empirically, then they must also be able to account for cross country heterogeneity in steady state capital shares. This adds to a growing literature that provides support for models with multiple production regimes. Executive SummaryOne of the challenging tasks facing economists is a more thorough understanding as to why the disparity in national per capita incomes has remained so large across the globe. Most importantly, evidence as to whether or not these disparities are tending to diminish over time is at best mixed. This is despite the fact that many standard economic theories tell us that in an increasingly interconnected global economy, we should expect to see per capita incomes converge, with poorer countries eventually catching up to wealthier countries.Recently economists have conjectured that explanations for the apparent lack of convergence in per capita incomes internationally may lie in the differences among countries that have traditionally received less attention from the economics profession. These include international differences in social and political institutions, differences in social norms and the degree of social cohesion, differences in the levels of education and health care and differences in the degree of social and political openness to new ideas and new technologies. Collectively, these concepts have come to be termed social capital, human capital, and barriers to production. The challenge that these ideas present for...

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“…We use the concepts of geometric ergodicity and of linear stochastic comovement, which correspond to the linear concepts of integratedness and cointegratedness, to characterize the DGPs. We show that the stationarity test due to Kwiatkowski, Phillips, Schmidt and Shin (1992), and the cointegration test of Shin (1994) are applicable in the current context, although the Shin test has a different limiting distribution. We also propose a consistent test which has a null of linear cointegration (comovement), and an alternative of "nonlinear cointegration".…”

mentioning

confidence: 93%

Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

Corradi

Swanson

White

2000

Journal of Econometrics

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Abstract. In this paper we introduce a class of nonlinear data generating processes (DGPs) that are first order Markov and can be represented as the sum of a linear plus a bounded nonlinear component. We use the concepts of geometric ergodicity and of linear stochastic comovement, which correspond to the linear concepts of integratedness and cointegratedness, to characterize the DGPs. We show that the stationarity test due to Kwiatkowski, Phillips, Schmidt and Shin (1992), and the cointegration test of Shin (1994) are applicable in the current context, although the Shin test has a different limiting distribution. We also propose a consistent test which has a null of linear cointegration (comovement), and an alternative of "nonlinear cointegration". Monte Carlo evidence is presented which suggests that the test has useful finite sample power against a variety of nonlinear alternatives. An empirical illustration is also provided.JEL Classification: C12, C22.

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A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

Cited by 390 publications

References 34 publications

Studying the relationship between economic growth, CO2 emissions, and the environmental Kuznets curve in Venezuela (1980–2025)

Studying the relationship between economic growth, CO2 emissions, and the environmental Kuznets curve in Venezuela (1980–2025)

Social capital, barriers to production and capital shares: implications for the importance of parameter heterogeneity from a nonstationary panel approach

Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

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