Spelling suggestions: "subject:"balansen's methods"" "subject:"ariansen's methods""
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A study of cointegrating models with applicationsSsekuma, Rajab 06 1900 (has links)
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.
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A study of cointegration models with applicationsSsekuma, Rajab 06 1900 (has links)
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. / Decision Sciences / M. Com. (Statistics)
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