An alternative procedure to test for cointegration in STAR models

Maki, Daiki

doi:10.1016/j.matcom.2009.12.003

Cited by 10 publications

(23 citation statements)

References 13 publications

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“…Note that by imposing F(u i,t−1 ; Â i ) = 0 or F(u i,t−1 ; Â i ) = − i i where i is vector of level parameters, one obtains conventional linear cointegration equation (e.g., Kapetanios et al, 2006). Following earlier literature on nonlinear unit root and cointegration (e.g., Kapetanios et al, 2003Kapetanios et al, , 2006Ucar and Omay, 2009;Maki, 2010) Omay et al (2014 assumes that the transition function F(u i,t−1 ; Â i ) is of the exponential form 1 :…”

Section: Non-linear Panel Cointegration Testmentioning

confidence: 99%

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

Omay

Yuksel

Aydın

2015

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tThis study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis.

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Section: Non-linear Panel Cointegration Testmentioning

confidence: 99%

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

Omay

Yuksel

Aydın

2015

Journal of International Financial Markets, Institutions and Mo

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“…According to the previous literature (e.g. Kapetanios et al, 2003;Kapetanios et al, 2006;Maki, 2010) dealing with the nonlinear co-integrated relationship, we assume a exponential transition function F(u i,t−1 ; θ i ) as follows,…”

Section: Econometric Framework Nonlinear Panel Co-integration Testmentioning

confidence: 99%

A study of the nonlinear dynamic interrelationship between CO2 emissions and logistics sector output growth

2022

Front. Environ. Sci.

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Using provincial panel data spanning from 1995 to 2020, this paper examines the nonlinear interrelationship between logistics carbon dioxide emissions and output growth. For this purpose, we conduct a nonlinear co-integration test in heterogeneous panels; our results suggests a long-run relationship between these two variables. In contrast, adjustment to the equilibrium is inherently nonlinear. Furthermore, we estimate a panel smooth transition vector error correction model. Our major contributions, as we know, are the first study confirming the existence of a dynamic mechanism between logistics carbon dioxide emissions and regional output growth and the Environmental Kuznets Curve in China. Last, the interaction between logistics carbon dioxide emissions and regional output growth varies over the output growth in Chinese provinces and autonomous regions. Our results highlight the importance of considering possible nonlinearities in analyzing output-carbon dioxide emissions causality nexus and designing energy policies.

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“…Benzer şekilde, Borsa İstanbul da hem ulusal hem de uluslararası ekonomik değişkenlerden etkilenebilmektedir. Bu çalışma, Türkiye ekonomisi Ocak 2000-Haziran 2019 dönemi hisse senedi fiyatları ile bazı seçilmiş ekonomik değişkenler arasındaki ilişkiyi STAR tipi eşbütünleşme testi, Maki (2010) and KSS (2006) ile analiz etmektedir. Maki (2010) ve KSS (2006) test sonuçları arasındaki farklılıktan dolayı daha az kısıta sahip olan model bulunmaya çalışılmış ve seçilmiş olan model bu ilişkilerin analizinde kullanılmıştır.…”

Section: Türki̇ye'de Hi̇sse Senedi̇ Fi̇yatlari İle Seçi̇lmi̇ş Ekonom...unclassified

“…Bu çalışma, Türkiye ekonomisi Ocak 2000-Haziran 2019 dönemi hisse senedi fiyatları ile bazı seçilmiş ekonomik değişkenler arasındaki ilişkiyi STAR tipi eşbütünleşme testi, Maki (2010) and KSS (2006) ile analiz etmektedir. Maki (2010) ve KSS (2006) test sonuçları arasındaki farklılıktan dolayı daha az kısıta sahip olan model bulunmaya çalışılmış ve seçilmiş olan model bu ilişkilerin analizinde kullanılmıştır. Bulgularımız, hisse senedi fiyatları ile diğer ekonomik değişkenler arasında STAR düzeltme ile uzun dönemli bir ilişkinin varlığını desteklemektedir.…”

Section: Türki̇ye'de Hi̇sse Senedi̇ Fi̇yatlari İle Seçi̇lmi̇ş Ekonom...unclassified

“…Similarly, national and international economic variables can affect the Istanbul stock market. This study analyses the relationship between stock price and some selected economic variables using cointegration in STAR, Maki (2010), and KSS (2006) in Turkey from January 2000 to June 2019. Because of the difference between the results of the Maki (2010) and KSS (2006) test, it has been tried to find the model that has less constraint, and then this model has been used to analyze these relationships.…”

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confidence: 99%

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Linkages Between Stock Price and Selected Economic Variables in Turkey: Evidence From Cointegration in Star

RAHMANI¹,

Güri̇ş

2022

Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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After globalization, all the markets in the world are known as a competitive field and accordingly the economic interactions emerge more strongly. Similarly, Turkey stock market can be affected by both national and international economic variables. This study analyses nonlinear cointegration between stock price and some selected economic variables in Turkey for the period January 2000 to June 2019. It particularly compares the result of KSS (2006) and Maki (2010) cointegration tests. The results of these two tests are different because of using different processes. Our findings support the presence of long run relationship with STAR adjustment between stock price and other economic variables. Findings also shows that the adjustment of equilibrium between stock price, gold price and exchange rate take much time while the adjustment of equilibrium between stock price, interest rate and inflation don’t take much time. Moreover, there are the long run causality between stock price and other variables except interest rate. The findings of this study can be helpful for Turkish portfolio management, as well as the financial risk management

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An alternative procedure to test for cointegration in STAR models

Cited by 10 publications

References 13 publications

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

A study of the nonlinear dynamic interrelationship between CO2 emissions and logistics sector output growth

Linkages Between Stock Price and Selected Economic Variables in Turkey: Evidence From Cointegration in Star

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