This study estimates cointegration models by applying the Engle-Granger (1989) two-step es- timation procedure, the Phillip-Ouliaris (1990) residual-based test and Johansen's multivariate technique. The cointegration techniques are tested on the Raotbl3 data set, the World Economic Indicators data set and the UKpppuip data set using statistical software R. In the Raotbl3 data set, we test for cointegration between the consumption expenditure, and income and wealth vari- ables. In the world economic indicators data set, we test for cointegration in three of Australia's key economic indicators, whereas in the UKpppuip data set we test for the existence of long-run economic relationships in the United Kingdom's purchasing power parity. The study nds the three techniques not to be consistent, that is, they do not lead to the same results. However, it recommends the use of Johansen's method because it is able to detect more than one cointegrating relationship if present.

This thesis investigates the long-run stability of Cointegrated pairs in the Swedish Equity Market. Stability is evaluated by estimating pairs in an in-sample period then rolling the win- dow forward. A Pairs Trading strategy is then applied to the estimated pairs and traded out-of-sample. The relationships are found to diminish over time and most break o. Negative compound annual growth rates are obtained for the period. However there are enough lasting cointegrating relationships for the strategy to be applicable but the returns are highly dependent on the complexity of the trading rules.

by Hou Ka Chun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 89-95). / Abstracts in English and Chinese. / LIST OF TABLES --- p.vii / LIST OF ILLUSTRATIONS --- p.viii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- REVIEW OF THE LITERATURE --- p.6 / Monetary Models / Nominal Exchange Rate Prediction / Nonparametric Estimation Techniques / Chapter III --- METHODOLOGY --- p.17 / Unit-Root Tests / Zivot-Andrews Test / Error Correction Model / Autoregressive Distributed Lag (ARDL) Approach to Cointegration / Local Polynomial Fitting / Chapter IV --- DATA --- p.36 / Chapter V --- PARAMETRIC MODELING --- p.39 / Estimation Procedure / Empirical Findings / Japan / Germany / Britain / Chapter VI --- NONPARAMETRIC MODELING --- p.50 / Estimation Procedure / Empirical Findings / Chapter VII --- CONCLUSION --- p.54 / TABLES --- p.56 / ILLUSTRATIONS --- p.77 / BIBLIOGRAPHY --- p.89

by Wai-Man Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 107-112). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problems of Cointegration Analysis --- p.1 / Chapter 1.2 --- Contributions of this Research --- p.2 / Chapter 1.3 --- Applications of this Research --- p.3 / Chapter 1.4 --- Organization of this Thesis --- p.3 / Chapter 2 --- Foreign Exchange Features --- p.5 / Chapter 2.1 --- Spot Exchange Rate Markets --- p.5 / Chapter 2.2 --- Development of International Monetary System --- p.6 / Chapter 2.3 --- Determinants of Foreign Exchange Rates --- p.7 / Chapter 2.4 --- Description of Foreign Exchange Data --- p.9 / Chapter 3 --- Literature Overview --- p.17 / Chapter 3.1 --- Model Selection --- p.17 / Chapter 3.2 --- Line and Curve Detection......................................................' --- p.20 / Chapter 3.3 --- Concluding Remarks --- p.23 / Chapter 4 --- Regression by Minor Component Analysis --- p.24 / Chapter 4.1 --- Regression by Ordinary Least Squares --- p.24 / Chapter 4.2 --- Regression by Total Least Squares --- p.27 / Chapter 4.3 --- The comparison of PCA and MCA --- p.28 / Chapter 4.4 --- Experiment 4A : Regression on Artifical Data --- p.29 / Chapter 4.5 --- Experiment 4B : Regression on FX Data --- p.30 / Chapter 4.6 --- Concluding Remarks --- p.32 / Chapter 5 --- Cointegration Test by Minor Component Analysis --- p.33 / Chapter 5.1 --- Concept of Cointegration --- p.33 / Chapter 5.2 --- MCA Based Cointegration Test --- p.34 / Chapter 5.3 --- Experiment 5B : Cointegration Test on FX Data --- p.36 / Chapter 5.4 --- Concluding Remarks --- p.38 / Chapter 6 --- Model Selection by Minor Component Analysis --- p.44 / Chapter 6.1 --- Hypothesis Test on Minor Component Coefficients --- p.44 / Chapter 6.2 --- Experiment 6B : Forward Selection on FX Data --- p.46 / Chapter 6.3 --- Experiment 6B : Backward Elimination on FX Data --- p.50 / Chapter 6.4 --- Experiment 6C : MCA Based Selection on FX Data --- p.53 / Chapter 6.5 --- Concluding Remarks --- p.54 / Chapter 7 --- Cointegration by Modular MCA --- p.55 / Chapter 7.1 --- Ordinary Modular MCA Based Cointegration --- p.56 / Chapter 7.2 --- Experiment 8A : OMMCA on Artificial Data --- p.58 / Chapter 7.3 --- Experiment 8B : OMMCA on FX Data --- p.63 / Chapter 7.4 --- Variable-Dependent Modular MCA Method --- p.71 / Chapter 7.5 --- "Experiment 8C : VMMCA on Artificial Data," --- p.73 / Chapter 7.6 --- Experiment 8D : VMMCA on FX Data --- p.80 / Chapter 7.7 --- Adaptive Modular MCA Based Cointegration --- p.89 / Chapter 7.8 --- Experiment 8E : AMMCA on Artificial Data --- p.90 / Chapter 7.9 --- Experiment 8F : AMMCA on FX Data --- p.94 / Chapter 7.10 --- Concluding Remarks --- p.103 / Chapter 8 --- Conclusions and Future Works --- p.105

<p>The oil market is arguably the most influential commodity market in the world, in that it has an effect on all economic variables in one way or another. Due to oil’s central role in the world economy, it is of the utmost importance that all parts of society strive to increase the understanding of how the market works. This study has analysed the efficiency of the oil market in the period 1986 to 2008, with the efficient market hypothesis as the theoretical framework. Data on the prices of spot and futures contracts on crude and heating oil has been collected from the New York Mercantile Exchange, and tested for cointegration, with the underlying assumption being that cointegration is a sign of weak form efficiency. The results implies that the spot and futures prices have not been cointegrated during the studied period, and thus we conclude that the oil market has not behaved in accordance with the weak form of the efficient market hypothesis.</p>

The oil market is arguably the most influential commodity market in the world, in that it has an effect on all economic variables in one way or another. Due to oil’s central role in the world economy, it is of the utmost importance that all parts of society strive to increase the understanding of how the market works. This study has analysed the efficiency of the oil market in the period 1986 to 2008, with the efficient market hypothesis as the theoretical framework. Data on the prices of spot and futures contracts on crude and heating oil has been collected from the New York Mercantile Exchange, and tested for cointegration, with the underlying assumption being that cointegration is a sign of weak form efficiency. The results implies that the spot and futures prices have not been cointegrated during the studied period, and thus we conclude that the oil market has not behaved in accordance with the weak form of the efficient market hypothesis.

This paper examines the relationaship between financial development and economic growth in ghana. This is done using time series econometric procedures by employing four proxy of financial development and applying granger causality test, cointegrating test, vector error correction model. The empirical results show that the direction of causalty is sensitive to the choice of proxy. It was discovered that finance follows in the direction of economic growth but doesnt necessarily lead to it. The empirical cointegration results weakly supprt long run relationship between financial development and economic growth.

The relationship between health and globalization may be constructed on improving public health through the flow of personnel, the import of medication, the quality improvement of drinking water, the utility of new medical technology, and the use of new medication on patients. Some scholars have pointed out that globalization may affect life expectancy from four aspects as income, education, nutrition, and public health. Unlike the existing literature primarily focuses on the correlation between health expenditure and GDP (gross domestic product), we examine to see whether a cointegration relationship between GDP and health expenditure exists under the impact of globalization by applying the panel cointegration test of Pedroni (1999, 2004) which allows heterogeneous data analysis and the Fully Modified OLS test. This paper mainly conducts a cross-continental comparison by using the data in the period from 1995 to 2004 of an estimate sample of 87 developing countries which consists of 12 European countries, 21 Central and South American countries, 20 Asian countries, and 34 African countries. The result shows that the existence of a cointegration relationship between GDP and health expenditure in both the overall developing countries and the cross-continental sample countries. Generally, investment of health and a fast pace of globalization progress boost GDP; especially in Europe and Asia, globalization is a very important factor in influencing the effectiveness of health expenditure upon GDP. In central and south America, the effect of globalization on the effectiveness of GDP to health expenditure is the most significant. The findings of this paper offer future researchers a different aspect for viewing and studying the correlation between health expenditure and GDP.

This paper attempts to test the cross-country efficiency in the foreign exchange market for four countries in East Asia : Taiwan, South Korea, Japan and China,whose values of industrial output are the top four in Asia. This paper use time series methods to test whether the cointegration relations exist or not in U.S. dollar spot exchange market of the four countries . This paper use two econometric models : 2 X 1 VAR model to test mutual co-integration and 4 X 1 VAR model to test co-movements for the foreign exchange rates of the four countries. Additionally, the models includes ARCH effects for the error terms.The empirical results mostly show that there are no cointegration relationships between four countries' spot exchange rates . Based on above results as well as Granger's perspective to the market efficiency of speculative assets in 1986, this study concludes that the hypothesis of cross country efficiency holds for these four countries' foreign exchange market.

From the point of view of world, the positive results of the economic globalization are: more frequent scientific and technological exchange, more obvious international division, resource reach supreme utility. But, global economy integration, the abolition of the trade barrier, and improvement of capital mobility, have produced the serious economic problem in several areas. That is to say that this kind of laissez faire causes the international economic growth rate to be slow and large quantities of unemployment. Above-mentioned problems are very apt to happen in developing countries. A lot of economic construction of most developing countries has not been ripe yet .If they open trade and capital inflow rashly, in a situation that there is not any supplementary measure effectively, the economic development of this area is hindered because of being unable to bear the strong external pressure with assault probably .If more serious, it will also cause the terrible financial crisis. From 1964 to 1988, Brazil implemented 20 several years governance of military affairs. During 20 several years governance of military affairs, Brazil had gone through the high economic growth rate. However, since 1974, the inflation of Brazil began to be accumulating constantly, the finance and account deficit frequently were serious day by day. The Brazilian government, in order to solve the problem, since 1980, limited the capital inflow. This policy made the development in economy slower, and the inflation problem was more serious. During elected president Fernando Collor de Mello was in power, from 1990, Brazilian government determined to return to the international capital market, and then economic became better. The open policy let the exchange rate appreciate, trade that accumulate, and lasting in debt of external and account deficit frequently. Brazil faced external pressure and impact once again. From 1994, Brazil was in power by new president Fernando Henrique Cardoso. In 1999, Brazilian government canceled the fixed exchange rate system of staring at U.S. dollar, and changed to adopt the floating exchange rate system. The exchange rate of Brazil was decided by market from then on. Brazil faces the huge external pressure for a long time because of the impact of the economic globalization. A lot of countries have an optimistic view of the economic development in the future of Brazil very much. The reasons are: First, natural resources of Brazil are very abundant and enough to supply with the demand of the world; Second, Brazilian population reaches 180 millions, the huge market attracts various countries to be engaged in all kinds of trade and conduct of business. No matter from the past economic development or to the economic forecasting in the future, the economy of Brazil is closely linked with open economic policy. In other words, the imports, exports and capital mobility of Brazil have dominated the development in economy of Brazil. So, I use Balance-of-payments constrained growth rate model (BPCG model) of Thirlwall (1979) to analyze Brazilian economy. I set up adjusted BPCG model according to actual state of Brazil. I use cointegration test and estimate out the Brazilian imports and exports behavior equation, and then calculate primitive BPCG model and adjusted BPCG model. Pointed out finally, the economic growth rate estimated out from the adjusted BPCG model is closer to Brazil's actual economic growth rate than the economic growth rate estimated out from the primitive BPCG model. This shows that some assumptions of primitive BPCG model do not accord with the real state of Brazil. Such as on long terms, comparative purchasing power parity is not to be hold. Imports and exports will correspond to out different price elasticity or substitution elasticity, if face different products or the price from the different areas. Thus, in the case of Brazil, the assumption of single price and single elasticity is not to be hold. In general, the long-term economic growth rate estimated out in BPCG model roughly keeps the same with long-term real economic growth rate of Brazil. This result demonstrates that BPCG model is useful for analyzing export-led economic, and the result also supports Brazil to be an export-led economic growth country.