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Macroeconomics Commons™

Open Access. Powered by Scholars. Published by Universities.®

2013

Cointegration

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Full-Text Articles in Macroeconomics

Structural Change And Real Output Growth In Nigeria: A Cointegration Analysis, P. D. Golit Jun 2013

Structural Change And Real Output Growth In Nigeria: A Cointegration Analysis, P. D. Golit

Economic and Financial Review

The study employed the Johansen (1988) and the Johansen and Juselius (1990) multivariate maximum likelihood method within a Vector Autoregressive framework to explore the impact of structural reforms on the level of real output in Nigeria. We fit the equation separately for two sub-samples, the pre-reform and the market-reform periods, to enable comparisons of the outcomes under alternative policy regimes. We further estimate the model using data that covered the entire sample period to evaluate the total effects and include a dummy variable to capture the impact of the policy shift. The Johansen cointegration test confirms the existence of long-run …

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Cointegration Analysis Of Oil Prices And Consumer Price Index In South Africa Using Stata Software, Mphumuzi A. Sukati Mr Jan 2013

Cointegration Analysis Of Oil Prices And Consumer Price Index In South Africa Using Stata Software, Mphumuzi A. Sukati Mr

Mphumuzi A Sukati Mr

This paper investigates the concept of vector autoregression (VAR) and cointegration using a bivariate model of global oil prices and headline Consumer Price Index (CPI) in South Africa. The study aims to determine how much of inflation is driven by oil prices. Particular attention is paid to the theoretical underpinnings of cointergration analysis and the application of STATA software to undertake such analysis and perform test statistics. Contrary to the popular myth that a rise in global oil prices fuels inflation, this study has observed that global oil prices are not the drivers of inflation in South Africa. In this …

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Cointegration Analysis Of Exports And Imports: The Case Of Pakistan Economy, Sharafat Ali Dec 2012

Cointegration Analysis Of Exports And Imports: The Case Of Pakistan Economy, Sharafat Ali

Sharafat Ali

No abstract provided.

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