Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

MacKinnon, James G.; Haug, Alfred A.; Michelis, Leo

doi:10.32920/ryerson.14640264.v1

Cited by 26 publications

(28 citation statements)

References 21 publications

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“…*Rejection of the hypothesis at the 0.05 level. Mackinnon–Haug–Michelis (1999) p ‐values are used. Figures in parentheses represent t ‐statistics.…”

Section: Resultsmentioning

confidence: 99%

Internationalisation of education and its effect on economic growth and development

Chowdhury

2021

World Economy

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This study examines the effect of education export on economic growth and development, using Australia as a case study since it is one of the top destinations for international students. International education has played a vital role in Australia's economy over the last three decades, becoming the third‐largest export of Australia after iron ore and coal and earning AU$40.3 billion in 2019. The sector supports about 250,000 jobs and provides an important source of skilled migrants for Australia. This study employs the cointegration and error correction model and quarterly data from 1974 to 2019 to analyse the effect of internationalisation of education on the Australian economy. The results suggest a long‐run positive relationship and a short‐run dynamic effect of international education on the economic growth and employment of Australia. The findings of this study have far‐reaching implications for other education‐exporting countries. Policy recommendations suggest taking proactive, flexible and innovative approaches to attract international students, and diversifying the market can support growth of the sector and enhance the economy‐wide spillover effects. The study further proposes sound and timely policies to promote the internationalisation of education to augment not only economic growth but also long‐run development for both education‐exporting and education‐receiving countries.

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“…*Rejection of the hypothesis at the 0.05 level. Mackinnon–Haug–Michelis (1999) p ‐values are used. Figures in parentheses represent t ‐statistics.…”

Section: Resultsmentioning

confidence: 99%

Internationalisation of education and its effect on economic growth and development

Chowdhury

2021

World Economy

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“…The trace statistic and λ-Max statistic are the two likelihood ratio test statistics that are computed using Equation (3). If the calculated likelihood ratio test overreaches to the asymptotic critical values, then the null hypothesis that the long-run relationships exist between variables can be rejected (MacKinnon et al, 1999). The trace test is shown in Equation (4) while the maximum eigenvalue test is revealed in Equations ( 5) (Hjalmarsson and Österholm, 2010) as follows:…”

Section: Testing Of Cointegrationmentioning

confidence: 99%

The impact of crude oil price on food prices in Iraq

Mohammed

2022

OPEC Energy Review

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Although substantial academic literature has attributed the increase in food prices to the role of crude oil price change, this unique connection has not experienced enough attention in net food‐importing and oil‐exporting developing countries. This research investigates the impact of oil price fluctuations on food prices in Iraq between 2001 and 2020 using time‐series econometric methods. Nevertheless, the oil price is a variable of interest, inflation is also added in the estimated models as a relevant extra determinant of food prices. The Johansen test and the autoregressive distributed lag bound test are used to evaluate the existence of cointegration between crude oil price and food prices. Results from the empirical analysis provided evidence indicating that a long‐run relationship between crude oil price and food prices exists in Iraq. Moreover, the outcomes from the forecast error variance decompositions suggested the existence of a monodirectional dynamic linkage between crude oil price and food prices. The empirical results from impulse response functions indicated a positive response for food prices due to one standard deviation shock in oil price. The study recommends short‐term and long‐term agricultural policies for Iraq to separate its dependency from international food markets that are affected by oil price shocks.

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“…The conclusion of one cointegration between spot and futures returns is robust to different specifications of the autoregressive orders. The critical values for the Johansen maximum eigenvalue test and trace test statistics are based on MacKinnon et al (1999). *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively.…”

Section: Datamentioning

confidence: 99%

The information effect of order flows in foreign currency futures and spot markets

Chen

Gau

2022

Journal of Futures Markets

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Using intraday EUR-USD and JPY-USD data in both electronic futures and spot markets, we examine the important role played by order flow in price discovery and in intermediating the exchange-rate reactions to macroeconomic news. We find that, after considering the order flows of futures and spot markets, the futures market dominates price discovery when compared with the spot market, confirming that order flows have a permanent impact on prices, even more so in futures markets. Furthermore, announcement surprises in gross domestic product, jobless claims, and nonfarm payroll affect both order flows and exchange-rate changes.

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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

Abstract: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

Cited by 26 publications

References 21 publications

Internationalisation of education and its effect on economic growth and development

Internationalisation of education and its effect on economic growth and development

The impact of crude oil price on food prices in Iraq

The information effect of order flows in foreign currency futures and spot markets

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